It should be possible to do it when selecting "Something else" (however I have encountered some issues with this approach), so here is how it may be overcome: you need to create positions manually before entering installation (you may do it by selecting Try Ubuntu, instead of install).
The easiest way is to use utility called "disks". You should already have EFI partition (a small FAT partition usually one of the first ones on disk - should have " Partition Type " set to EFI System. If you don't have one, just create 200 - 500MB FAT partition.
Next you need to create 500-2048 MB Ext4 partition (for boot) , please write down the name under "Device" - like /dev/sda3.
Finally create last partition with remaining space for OS (and home) as Ext4 with LUKS (for more advanced options you may refer to this guide How can I install Ubuntu encrypted with LUKS with dual-boot?)
To make sure that installation will go the right way please unlock encrypted partition (partition will show up below the LUKS container) but don't mount it.
Now you can proceed with installation.
When selecting Something else, you need to select your boot partition (aka /dev/sda3) and choose to format it as Ext4 with mount point set to boot. You need also to find your encrypted partition, which should be somewhere on top of the list (something like /dev/mapper/something) and choose mount point as "/". You need also make sure that the right drivr is selected for grub installation. You can select Next and proceed with installation.
Edit: it seems that encrypted partition needs to be created by installer, otherwise system won't be able to mount it and boot.