I have setup the basic application in Blazor in Microsoft Visual Studio Community 2019 Version 16.1.3 and I have tried both of the versions of .NET Core SDK 3.0.100-preview5
Addition to @SᴇM answer, please make sure you are using latest version of Visual studio. For my case, I followed the same steps mentioned by @SᴇM but still option Blazor App option not shown.
After that, I updated visual studio to 16.3.7 and now option is visible while creating new project. :)