Are you sure you're talking about Ubuntu? It's been a while since I've used Mint OS, which might have a feature like that since it attempts to mimic Windows OS. Unless I'm missing something, Ubuntu 18.04 does not have a feature to create a desktop shortcut under the right-click menu.
Depends on the desktop environment you are using. Gnome may not allow you to create icons on the desktop but it must have some alternative like a menu or a dashboard where you can do that. Being able to create shortcuts is a basic feature of every DE!