I had the same problem, could do it like this (from PowerShell):
# go into some folder into which you want the file to be downloaded
cd <somefolder>
# download Ubuntu 20.04
Invoke-WebRequest -Uri https://aka.ms/wslubuntu2004 -OutFile Ubuntu.appx -UseBasicParsing
# install downloaded *.appx file
Add-AppxPackage .\Ubuntu.appx
Afterwards I did Windows+S and typed "Ubuntu" to show the installed app, then executed it to finish setup (new user name + password must be given).
I checked the success doing: wsl --list --verbose
and received this:
NAME STATE VERSION
Ubuntu-20.04 Running 1
So finally, I needed to convert my Ubuntu to WSL2 like this:
wsl --set-version Ubuntu-20.04 2
Voila!