CONFIG_KGDB_SYSRQ is not available for thedefaultarchitecture x86.
Result is shown for architecture sh
default or selected kernelversion does not have config value CONFIG_KGDB_SYSRQ.
Result is shown for kernelversion 5.4.123

Allow SysRq 'G' to enter KGDB

configname: CONFIG_KGDB_SYSRQ

Linux Kernel Configuration
└─>Kernel hacking
└─>KGDB configuration options
└─>Allow SysRq 'G' to enter KGDB
In linux kernel since version 2.6.12  
depends
CONFIG_KGDB