Got it working,
Step 1: Disable all firmware (else it uses the wrong firmware)
sudo mkdir /lib/firmware/backup/
sudo mv /lib/firmware/iwlwifi* /lib/firmware/backup/
Step 2: Grep your firmware from: https://www.intel.com/content/www/us/en/support/articles/000005511/network-and-i-o/wireless.html
Please use the iwlwifi-cc-46.3cfab8da.0.tgz if you are on an AX200
Step 3: Unpack and move it to /lib/firmware:
sudo mv ~/iwlwifi* /lib/firmware/
sudo chown root:root /lib/firmware/iwlwifi*
Step 4, reboot and your output of sudo dmesg | grep iwlw should be:
[ 3.672084] iwlwifi 0000:05:00.0: enabling device (0000 -> 0002)
[ 3.675743] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-59.ucode failed with error -2
[ 3.675774] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-58.ucode failed with error -2
[ 3.675858] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-57.ucode failed with error -2
[ 3.675991] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-56.ucode failed with error -2
[ 3.676009] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-55.ucode failed with error -2
[ 3.676032] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-54.ucode failed with error -2
[ 3.676058] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-53.ucode failed with error -2
[ 3.676075] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-52.ucode failed with error -2
[ 3.676174] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-51.ucode failed with error -2
[ 3.676190] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-50.ucode failed with error -2
[ 3.676204] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-49.ucode failed with error -2
[ 3.676219] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-48.ucode failed with error -2
[ 3.676234] iwlwifi 0000:05:00.0: Direct firmware load for iwlwifi-cc-a0-47.ucode failed with error -2
[ 3.678938] iwlwifi 0000:05:00.0: loaded firmware version 46.3cfab8da.0 cc-a0-46.ucode op_mode iwlmvm
[ 3.740970] iwlwifi 0000:05:00.0: Detected Intel(R) Wi-Fi 6 AX200 160MHz, REV=0x340
[ 3.903256] iwlwifi 0000:05:00.0: base HW address: b8:9a:2a:de:1d:e5
[ 3.918135] iwlwifi 0000:05:00.0 wlp5s0: renamed from wlan0
Skipping all the firmware until it loads the right firmware :)
Hope it helps someone.
Please note, windows could mess up this card: Intel AX200 Wi-Fi adapter not working
Check this link if you are dualbooting :)