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

CONNMARK target support

modulename: ipt_CONNMARK.ko

configname: CONFIG_IP_NF_TARGET_CONNMARK

Linux Kernel Configuration
└─>Networking support
└─>Networking options
└─>Network packet filtering (replaces ipchains)
└─>IP: Netfilter Configuration
└─>CONNMARK target support
In linux kernel since version 2.6.12  
This option adds a `CONNMARK' target, which allows one to manipulate
the connection mark value. Similar to the MARK target, but
affects the connection mark value rather than the packet mark value.

If you want to compile it as a module, say M here and read
Documentation/modules.txt. The module will be called
ipt_CONNMARK.o. If unsure, say `N'.

source code: