I have installed RetroPie on Ubuntu 19.10 Eoarn Ermine, but I have had a lot of problems with installing some packages.
Post an installation log somewhere so we can take a look.
We didn't have this kind of issues reported lately and I don't think this is a general issue, but maybe something in particular with your setup. RetroPie-Setup tries to automatically install any dependencies, so there's must be something wrong with these packages being installed.
For instance, libsd2-dev, libasound2-dev and libasound2 are available in both 19.10 and Focal (20.04):https://packages.ubuntu.com/eoan/libasound2-dev and https://packages.ubuntu.com/focal/libasound2-dev https://packages.ubuntu.com/eoan/libasound2 https://packages.ubuntu.com/focal/libasound2 https://packages.ubuntu.com/eoan/libsdl2-dev and https://packages.ubuntu.com/focal/libsdl2-dev