Note: Answering my own problem for future developers.
I right click a Method > Create Intelli Tests.
I choose the MSTestv2, chose the Project.Test project, click OK and see the following output:
Processing Proj.API
Scanning assembly references in Proj.API Applying
template AssemblyInfo to Proj.API Applying template Tests to Proj.API
test stubbing ProductController -> ProductControllerIntelliTest
generating method bodies
flushing generated code
Unfortunately the Test.cs file is NOT created.
I've set all projects x86 and that doesn't make a difference.
Does anyone know why this doesn't work?