How to set Data usage warnings on Iphone 11 after used 20 GB data? Thanks

That is not a feature of the iPhone to regulate your data. If you wish to keep a check on things, the iPhone does have a method to display how much data you use, however you would need to reset that each month at the time your monthly data count is reset at your carrier. That is found in Settings>Cellular, then scroll down and you will see the listing Cellular Data and Current Period. To reset this counter, scroll to the bottom of the list and tap on Reset Statistics. It will also display the last time that you reset that counter.