Installing Ubuntu WSL in Window Server 2019

Open Powershell in Administrator mode the directory would be  C:\Users\Administrator

Invoke-WebRequest -Uri https://aka.ms/wsl-ubuntu-1804 -OutFile ubuntu.appx -UseBasicParsing

Once download 

Rename  ububtu.appx to ubuntu.zip

Extract ubuntu.zip in same place 

Back to power shell

$userenv = [System.Environment]::GetEnvironmentVariable("path","user")

[System.Environment]::SetEnvironmentVariable("PATH", $userenv +";C:\Users\Administrator\ubuntu","User")

Once done open the CMD in Administrator mode.

cd "C:\Users\Administrator\ubuntu"

ububtu1804.exe

It will ask for a username and password to provide the information, and you are done.

Don't forget to update and upgrade the server.