However, that particular address is not on the list. And I find it weird because Electrum generated it for me
Here is your issue. The address you are using is not part of the wallet you are trying to sign a message with. How did you generate that address? You should first make sure that you are using a legitimate copy of Electrum, as malicious copies have been known to generate fake addresses. Did you download it from electrum.org? Did you verify it before installing?
Are you sure you have opened the correct wallet file, and the address you are trying to sign with doesn't belong to a different wallet?
If you are definitely using a legitimate version of Electrum, and are definitely in the correct wallet file, then try going to console and pasting in the following:
wallet.change_gap_limit(100)
This will generate the next 100 addresses from your wallet. Check if your address is now shown.