By default, .NET Framework 3.5 is not installed on Server 2019 and also the sources are not getting installed. If you open Roles and Features and select the feature and start the installation you are likely to get an error message (0x800F0950). The same is true when you download it from the Microsoft content server and try to install it by dism or Enable-WindowsOptionalFeature.
It seems that you have to take the sources from the sxs folder of the iso file. Mount the iso by double-clicking it (Win8 or later), copy the 2 microsoft-windows-netfx3… cab files in the folder sources\sxs and paste them to your server. Afterwards, you can call
dism /online /Add-Package /PackagePath:[sourcepath]\microsoft-windows-netfx3-ondemand-package~31bf3856ad364e35~amd64~~.cab.
Alternatively, use Role and Features and select Specify an alternate source path option.