Now it is possible to install openjdk-11 this way:

sudo apt-get install openjdk-11-jdk

(Previously it installed openjdk-10, but not anymore)

Just do this after installing,

sudo nano /etc/environment
JAVA_HOME="/usr/lib/jvm/jdk-11.0.8"

Note that, /bin is not to be included. Save and exit. Then,

source /etc/environment

Btw, why complicate a normal installation?

In my case, when I don't have yet install nothing on Ubuntu, the broken link group mentioned in warning of update-alternatives, was caused by absence of JAVA_HOME variable.
I have reinstall the Ubuntu OS, and install JDK 11 in this sequence:
Download: jdk-11.0.16_linux-x64_bin.tar.gz from Oracle page.
Unzip: tar -xvf jdk-11.0.16_linux-x64_bin.tar.gz
Create folder: sudo mkdir -p /usr/lib/jvm/jdk-11.0.16/
Move unziped folder: sudo mv jdk-11.0.16/* /usr/lib/jvm/jdk-11.0.16/
Set java var in /etc/environment: PATH="...:/usr/lib/jvm/jdk-11.0.16/bin &
JAVA_HOME="/usr/lib/jvm/jdk-11.0.16"
Ask Ubuntu to accept new variable without restart whole system:
source /etc/environment
Set alternatives:
sudo update-alternatives --install "/usr/bin/java" "java" "/usr/lib/jvm/jdk-11.0.16/bin/java" 0
sudo update-alternatives --install "/usr/bin/javac" "javac" "/usr/lib/jvm/jdk-11.0.16/bin/javac" 0
sudo update-alternatives --set java /usr/lib/jvm/jdk-11.0.16/bin/java
sudo update-alternatives --set javac /usr/lib/jvm/jdk-11.0.16/bin/javac

With result for java -version:

java version "11.0.16" 2022-07-19 LTS
Java(TM) SE Runtime Environment 18.9 (build 11.0.16+11-LTS-199)
Java HotSpot(TM) 64-Bit Server VM 18.9 (build 11.0.16+11-LTS-199, mixed mode)