I installed Ubuntu just today to run WireGuard
I then followed their installation instructions for Ubuntu.
sudo add-apt-repository ppa:wireguard/wireguard
sudo apt-get update
sudo apt-get install wireguard-dkms wireguard-tools
Unfortunately their 'Quick start' has been anything, but...
$ ip link add dev wg0 type wireguard
RNETLINK answers: Operation not supported
I checked headers, checked updates, etc. No dice.