Searching for this option I can find many old topics, E.G.:
http://forum.imgburn.com/index.php?/topic/12333-creating-a-music-cd-image-file-as-opposed-to-burning-the-actual-cd/
http://forum.imgburn.com/index.php?/topic/20304-how-can-i-write-an-audio-cd-image-defined-by-cue-to-disc-file/
But my question is: Is this function still not available in the latest version?