If you use the new Tether for Canon in Lightroom Classic 8.0, please ensure that you select the following check box accordingly.
By default, it is disabled. In the previous versions, this option was not provided to you. In that case, if an SD card or CF card is present in the camera, the tethered image would be saved in them.
The new option, disabled by default, will not save a copy of the image in the card.
In Lightroom Classic 8.1, the option is ON by default.