This is also an issue for 4.19 and I am doing this on Windows (hopefully so I can develop games for Windows and Linux).
I have once tried building Unreal Engine 4 from source (via the private GitHub repository) with Linux deployment support, albeit with little success. One of my most recent errors with attempting to do that was that one of the path names was too long. I have since given up on doing that despite having followed each step properly.
I was surprised to learn that I can configure Unreal Engine 4’s target platforms from the Epic Games launcher. I have done this for UE4 4.21 and 4.19, but with no success. I keep getting this error: Software Development Kit (SDK) not found. Please install the SDK for the Linux target platform!