Finishing PhD and didn't secure a postdoc position: how to proceed?

One option possibly available to you are academic jobs that are more teaching-oriented. While (in the US and Canada) hiring for permanent teaching-oriented jobs is mostly over at this point, there is still hiring going on for temporary positions, both full-time and part-time, both at four-year universities and community colleges.

Such a position maintains an academic affiliation. Not being a physicist, I do not know how taking such a job would be perceived if you apply for research-oriented jobs in the future. I expect these positions (especially full-time ones) would be viewed positively in applications for permanent, teaching-oriented jobs.

1) First the bad news: The job situation (tenure track) in theoretical high energy physics is not good, covid will not help, having a hard time to get a first postdoc is not a good sign. Having difficulty to get a postdoc is probably not your fault. There are many possible reasons, such as field not a good match, advisor not helpful, institution not a good match. However, it is not clear that the situation will be different next year.

2) In the past it has been quite uncommon for people to work in the private sector and then return to academia. If it is just a year then you can probably finish another paper or two from your graduate work, and describe your stint as gaining real world experience. I don't think it is true that people will just discard your application, but it does not improve it, either.

3) The good news is that suddenly there does appear to be a new track. If you are interested in machine learning or quantum information then you can try to get a private sector job in this area, and that does leave open the possibility of returning to academia after you have gained some experience (after two years, for example, or even later than that).