Dual Boot (Ubuntu and Windows) on Aurora R6 with intel optane

You should be able to Dual Boot with Ubuntu installed ALONGSIDE windows. There is support for doing this but it is not free.  Dell does not offer Ubuntu support for Alienware.

Steps For Dual Booting Windows 10 And Ubuntu

The steps required for dual booting Windows 10 and Ubuntu are as follows:

• Backup your Windows 10 operating system (optional but highly recommended)
• Create a Ubuntu USB drive
• Enable booting from a USB drive
• Shrink the Windows 10 partition to make space for Ubuntu
• Boot into Ubuntu live environment and install Ubuntu
• Change the boot order to make sure Ubuntu can bootIf you don't know how to do the USB drive get a pre made UBUNTU 16.04 LTS DVD from this book.Ubuntu Unleashed 2017 Edition (Includes Content Update Program): Covering 16.10, 17.04, 17.10 (12th Edition): Matthew He… 

How to Install Ubuntu 16.04 to Dual Boot with Windows 10 - YouTube 

There are two images available, each for a different type of computer:

64-bit PC (AMD64) desktop image

Choose this to take full advantage of computers based on the AMD64 or EM64T architecture (e.g., Athlon64, Opteron, EM64T Xeon, Core 2). If you have a non-64-bit processor made by AMD, or if you need full support for 32-bit code, use the i386 images instead. Choose this if you are at all unsure.

32-bit PC (i386) desktop image

For almost all PCs. This includes most machines with Intel/AMD/etc type processors and almost all computers that run Microsoft Windows, as well as newer Apple Macintosh systems based on Intel processors.

I don't think you get my point. I know how to install Ubuntu using USB alongside windows. My question is, is there anyway I can setup a linux with another HDD without change to AHCI (or at least I can use RAID ON model to boot after using AHCI to install linux ). Also my situation is not same as other as I have intel optane

There is support from Canonical for what you are asking but it is not free.  There is no Dell support for what you are asking.

I also don't know of INTEL OPTANE support for Ubuntu.  So the basic answer is No there is no support for that here.
Ubuntu Advantage is the commercial support package from Canonical.
Why Ubuntu Advantage?

• Enterprise grade security at an affordable price
  Access to the latest software and our proactive support services, including the Canonical Livepatch Service.

• IP legal assurance

  The Ubuntu Assurance Programme that provides indemnification against claims of intellectual property infringement.

• Access to our world-class technical team and library
  Access to the world’s leading Ubuntu experts as well as the Canonical Knowledge Base exclusively, an online library of articles on technical issues.

• 24/7 phone and web support
  Around-the-clock coverage for Ubuntu deployments all over the world, and ability to track progress through the online portal.

• Certified technology
  All major software vendors, hardware vendors, system integrators and cloud providers have certified their technologies on Ubuntu.

• Landscape server management
  Landscape is the most cost-effective tool to support and monitor large and growing networks of desktops, servers and clouds.

• ESM
  For users of Ubuntu 12.04 LTS, Extended Security Maintenance (ESM) provides ongoing kernel security fixes through a secure, private archive.

• Livepatch
  For greater service availability, compliance and security, Canonical’s Livepatch Service means kernel patches are applied without rebooting.

• Ubuntu Advantage for public cloud
  Flexible Ubuntu Virtual Guest options designed for virtualised workloads on Ubuntu-certified public clouds.