You're going to have to learn how to use template pools in conjunction with jigsaw blocks.
A template pool is essentially a weighted list of structures that is randomly selected from. Jigsaw blocks use these to determine a structure to place.
Jigsaw blocks have several fields to fill out. They are: Target Pool (the template pool to choose a structure from), Name (used for connecting with other jigsaws), Target Name (the Name of the jigsaw to connect with), and Turns Into (a block which the jigsaw will turn into after generating a structure)
The best course of action I can think of is trial and error, with healthy doses of patience and research.
What I did was come up with an idea, and try to find relevant tutorials that could help me create it. Sadly there doesn't seem to be a lot of documentation for more difficult topics such as custom world generation. I had to figure stuff out mostly with trial and error, which got very frustrating at times. Stick with it though, its worth it.
You can create custom treasure maps (that search for any structure or structures of your choosing) with loot tables. I'm not sure what you mean by a 'challenge' though
I think you'll need a data pack. First, find one with vanilla world settings. Then, go to data/minecraft/dimension and delete the nether. That might override vanilla and prevent the nether from generating.
