I don’t think you played Vanilla, it must have been Cataclysm at least. You can’t “Choose Zone” like that in WoW Classic. You will need to follow the guide and travel.
It’s not possible to do Westfall 11-18 unless you’re ok with grinding, running out of quests and dying a lot.
The travelling may seems like a waste of time at the beginning but it’s not because you don’t get a mount until Level 40 (that is if you have the 40g for it) and you will need to go to Kalimdor eventually multiple times to get to level 40, you can’t level in just one continent.