You can do this with Macrodroid.
Macrodroid is an app that automates various tasks in your phone. It lets you create custom "macros" that trigger actions or sequences of actions in response to specific events.
Follow these steps:
0: Install and open the app 😆
1: Press Add Macro
2: Give it a name
3: Triggers > Battery/Power > Power Connected/Disconnected > Power Disconnected > OK
4: Actions > Screen > Screen On/Off > Screen Off > OK > Lock Screen > OK
5: Constraints > Device State > Device Locked/Unlocked > Device Locked > OK
6: Save
That's about it!
You do need to give it device admin permission and make sure your os doesn't kill the app to "save battery".