How do I set a distance goal on outdoor cycle on my Apple Watch?

Open the Workout App, choose "Outdoor Cycle", then tap on the three dots to get into the setup.

Scroll down until you see "Distance". Tap on the pencil icon to edit, then choose a distance and tap "Done"

Then start your Outdoor Cycle workout, "Distance" should be right at the top to choose.

For more details have a look at this part of the Apple Watch User guide:

Create a custom workout on Apple Watch - Apple Support