I am using a System76 Pop!_OS 18.04 LTS
GnuCash 2.6.19 is available
During initial setup only the XML file format is available.
I have PostgreSQL on my system. Would rather use that or SQLite.
How can I setup using one of those DBs?
Basically it is just File ->Save As and then select the option you require
provided you have the database systems installed and have the necessary
permissions to create a database.
This does require GnuCash to have been built with database support. This is
the default and should be present, but it is really in the hands of the
distribution packagers. If they have compiled GnuCash with the default
settings you should be OK.