@fargat There is far too little information to accurately assist you.

Here’s the details we have, so far:
You have FOG Server running on Ubuntu 20.04.
You have Sophos Firewall as DHCP server.
You have tried DNSmasq but it did not work.
You have tried FOG using a Lenovo laptop.
Based on the picture, the laptop is attempting to boot using UEFI stack.

That’s all we have.

We would need:
What version of FOG are you running?
What configuration did you use for DNSmasq?
What DHCP options 66/67 are defined on your Sophos Firewall DHCP Server?
What model of Lenovo laptop are you using? (There are many different models.)
Have you disabled Secure Boot?

There’s most likely going to be many more questions, but a picture and “Firewall is …” doesn’t really help us. Neither are any of the follow up responses you’ve given.

Here’s some resources:
https://wiki.fogproject.org/wiki/index.php?title=BIOS_and_UEFI_Co-Existence
https://wiki.fogproject.org/wiki/index.php?title=ProxyDHCP_with_dnsmasq

As @EduardoTSeoane has told you, based on the picture your machine is using UEFI stack for booting, but it’s calling the legacy boot file (undionly.kpxe should be ipxe.efi).