There is no option to join on-premises Windows server 2019 to Azure AD. Ususally, any on-premises Windows server cannot be joined to Azure AD and you cannot login to them with AAD credentials.
However, if you can create a VM in Azure AD with Windows server 2019 and login to that VM using Azure AD credentials.
You can follow steps in below article to achieve this,
https://learn.microsoft.com/en-us/azure/active-directory/devices/howto-vm-sign-in-azure-ad-windows
Let me know if you have further questions.
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