This means that you are not issuing the commands in the correct directory. You can check your current directory by typing the command
pwd
I would suggest that you read or watch a short tutorial of how to use the command line if you are not familiar with it. You don't need any advanced stuff, but you will need the basics later to run things like the provided Jack compiler.
Another common pitfall under Linux is, that people install the so called "headless" openjdk package. "Headless" in this case means that it does not have any GUI capabilities, which is what people want to run on the server. To make sure you have the correct JDK, you can issue the following command:
sudo apt install openjdk-11-jdk
Shameless plug: you can also try my fork of the emulator tools. One of the things I added is .desktop files, which should make running from the GUI much easier. You can grab it from here
https://github.com/itoshkov/nand2tetris-emu/releases/tag/v2.6.2