Setting Secure Boot off, SSD to AHCI and keeping boot mode to UEFI, the Ubuntu live usb doesn't show up when pressing F12 upon boot. Enabling legacy boot options is only available for external devices but that makes it show up.
Installing Ubuntu, in the partitioning screen at the bottom it doesn't say select partition to install GRUB, instead it said to install bootloader which I saw weird. After installing Ubuntu, no matter what combination of Secure Boot, SATA operation (which I'm sure must be AHCI for Ubuntu), boot mode, Ubuntu doesn't show up upon pressing F12 when booting.
On the other hand, using the same BIOS settings and USB drive I was able to setup Ubuntu on an XPS 15 7590 and boot successfully.
I thought burning the Ubuntu Live image on an internal partition and installing from that on other partitions as it should launch in UEFI mode, might solve the problem but I haven't tried that yet.