I do have a tutorial for this in a way, but before I introduce it I want to be up front about expectations around it. When running any kind of server, especially a game server, most people try to get away with the least amount of $ spent for each server. This to say, they want to avoid doing things that force them to pay more than they need to in order to perform the task. When your game server is running, you're not going to be using that desktop. That means it is, ultimately, wasted resource. To get the most bang for your buck, I recommend learning how to set up the game server over SSH instead.
With that said, I did promise a tutorial, and we do have one. This isn't RDP, but VNC. You'll need a VNC client (tons out there, RealVNC is an example). RDP is a Microsoft standard for Windows, and while similar alternatives exist, VNC is still by far the standard (where not needing to feel 100% native like a cloud-based desktop with audio streaming, etc). Here's that tutorial:
If VNC quality and functionality drives you crazy, x2go is more like RDP:
I would note that the x2go guide does not have you install a desktop environment, however. You would be responsible for choosing one and installing it outside of that tutorial.
In this guide, you'll set up a VNC server on an Ubuntu 18.04 server and connect to it securely through an SSH tunnel.