default or selected kernelversion does not have config value CONFIG_IP_NF_TARGET_CLASSIFY.
Result is shown for kernelversion 5.4.123

CLASSIFY target support

modulename: ipt_CLASSIFY.ko

configname: CONFIG_IP_NF_TARGET_CLASSIFY

Linux Kernel Configuration
└─>Networking support
└─>Networking options
└─>Network packet filtering (replaces ipchains)
└─>IP: Netfilter Configuration
└─>CLASSIFY target support
In linux kernel since version 2.6.12  
This option adds a `CLASSIFY' target, which enables the user to set
the priority of a packet. Some qdiscs can use this value for
classification, among these are:

atm, cbq, dsmark, pfifo_fast, htb, prio

To compile it as a module, choose M here. If unsure, say N.

source code: