Actually I hadn't noticed that I was launching Godot in the console from a folder which had this pong.tscn in it.
Problem solved for me then (I launch Godot from a folder which doesn't have any .tscn in it).
It's still a bit problematic to have this behavior in Godot, rather than an error message like "Godot can't find the necessary resources, do you want to go back to the main menu ?".