I doubt there is a method. It's only 1 extra click. It has to default to something. Either "add to selection", "subtract from selection", or "intersect with selection" if there is already a selection made.

Is there a specific reason why you are making a closed path then converting to selection? If you use the Polygonal Lasso Tool there is no need to convert. It's what I use when removing backgrounds. Magic Lasso Tool requires too much adjusting.