Absolutely no way to you having to come up with a 'cover story'. Beyond ridiculous. If someone had stolen money from you at work and had a disciplinary and been transferred as a result, how likely is that a manager would ask you (the victim) to come up with a cover story for their transfer? Would never happen but because it is sexual harassment (and consequently even more upsetting for you) and you are a woman then it is partly your responsibility to cover it up? No. Fucking. Way.
Your own manager needs to be fighting for you. You may have to be clear with them about that.
If this other manager asks you again verbally then say "Let me think about it and I'll email you about it". Then email him (copying your own manager) stating "On xxx date, you asked me to come up with a cover story for the man who sexually harassed me at work. Initially I thought that I must have misunderstood. Can you confirm what exactly you want me to do?"
And then if he is a total fool he will email you with ideas of the cover story, thus incriminating himself if you want to go down the grievance/constructive dismissal route. If he has any sense he won't mention it again.
Make your own manager aware that this other manager has asked you to cover up for this harasser.
If anybody else in the company asks anything about the harasser just say that HR have been managing the incident and they can ask HR for details. People will draw their own conclusions.
Are you in a union? Might be worth having an informal chat with a rep if so.
Don't blame you at all for feeling like you want to leave. Your company have exposed you to this harasser, made you work with him after the incident, and asked you to collude in covering it up. They have failed you.
My advice moving forward is to get everything in writing. If you have a verbal conversation with someone then immediately send an email recapping what was said, copying your own manager and others if need be.
I am very sorry that this is happening to you. It is not your fault.