I tried to install it on a fresh box and run into a different set of issues, such as Foreman 1.21/1.22 - Ubuntu 18.04 - Incompatible dependencies versions for ssh remote execution plugin (Bug #27097: foreman-proxy not launching because of 'uninitialized constant ForemanTasksCore::TaskLauncher' - foreman-tasks - Foreman) . However I failed to reproduce the /var/lib/foreman-proxy does not exist issue.
Currently Ansible and REX from Foreman on Debian/Ubuntu suffer from concurrent ruby packaging issues and it is practically impossible to get the current versions there (see Foreman Proxy won't start due to ruby load error (Concurrent::Edge::Future)). You might be able to get some older version working, but your mileage may vary. The safer bet would be to use an EL-based instead of debian based one, where this should work without any hiccups out of the box. Hope it is a viable option for you