Hi Carles,
Here is my detail steps to reproduce this fail:
OS version: Ubuntu 18.04.2 LTS 64 bits
 
install zephyr development environment:
    1. sudo apt-get update
    2. sudo apt-get upgrade
    3. 
        sudo apt-get install --no-install-recommends git cmake ninja-build gperf \
        ccache dfu-util device-tree-compiler wget \
        python3-pip python3-setuptools python3-wheel xz-utils file make gcc \
        gcc-multilib 
    4. pip3 install --user cmake

zephyr sdk:
    1. version:  zephyr-sdk-0.10.0-setup.run
    2. install path: ~/zephyr/sdk
 
get zephyr source code:
    cd ~/zephyr
    pip3 install --user west
    west --version
    west init source
    cd source
    west update
 
    the version was 1.14.99, source path: ~/zephyr/source
 
install python packages:
    cd ~/zephyr/source
    pip3 install --user -r zephyr/scripts/requirements.txt     
    sudo apt-get install python3-tk
 
export variant:
    cd ~/zephyr/source/zephyr
    export ZEPHYR_TOOLCHAIN_VARIANT=zephyr
    export ZEPHYR_SDK_INSTALL_DIR=~/zephyr/sdk
    source zephyr-env.sh
 
build sample:
    cd samples/bluetooth/hci_uart/
    mkdir build && cd build
    cmake -GNinja -DBOARD=nrf52_pca10040 ..
 
output:
    Zephyr version: 1.14.99
-- Selected BOARD nrf52_pca10040
-- Found west: /home/jeremy/.local/bin/west (found suitable version "0.5.7", minimum required is "0.5.6")
-- Loading /home/jeremy/zephyr/source/zephyr/boards/arm/nrf52_pca10040/nrf52_pca10040.dts as base
-- Overlaying /home/jeremy/zephyr/source/zephyr/dts/common/common.dts
-- Overlaying /home/jeremy/zephyr/source/zephyr/samples/bluetooth/hci_uart/nrf52_pca10040.overlay
Parsing Kconfig tree in /home/jeremy/zephyr/source/zephyr/Kconfig
Loading /home/jeremy/zephyr/source/zephyr/samples/bluetooth/hci_uart/build/zephyr/.config as base
Configuration written to '/home/jeremy/zephyr/source/zephyr/samples/bluetooth/hci_uart/build/zephyr/.config'
-- Cache files will be written to: /home/jeremy/.cache/zephyr
Including module: tinycbor in path: /home/jeremy/zephyr/source/modules/lib/tinycbor
Including module: qmsi in path: /home/jeremy/zephyr/source/modules/hal/qmsi
-- Configuring done
-- Generating done
-- Build files have been written to: /home/jeremy/zephyr/source/zephyr/samples/bluetooth/hci_uart/build
 
    ninja
output:
[137/142] Linking C executable zephyr/zephyr_prebuilt.elf
Memory region         Used Size  Region Size  %age Used
           FLASH:       73191 B       512 KB     13.96%
            SRAM:       18908 B        64 KB     28.85%
        IDT_LIST:         136 B         2 KB      6.64%
[142/142] Linking C executable zephyr/zephyr.elf
 
 
    jeremy@jeremy:~/zephyr/source/zephyr/samples/bluetooth/hci_uart/build$ ninja menuconfig
[0/1] cd /home/jeremy/zephyr/source/zephyr/samples/bluetooth/hci_uart/build/zephyr/...urce/zephyr/scripts/kconfig/menuconfig.py /home/jeremy/zephyr/source/zephyr/Kconfig
Using existing configuration '/home/jeremy/zephyr/source/zephyr/samples/bluetooth/hci_uart/build/zephyr/.config' as base
No changes to save (for '/home/jeremy/zephyr/source/zephyr/samples/bluetooth/hci_uart/build/zephyr/.config')
 
 
    jeremy@jeremy:~/zephyr/source/zephyr/samples/bluetooth/hci_uart/build$ ninja guiconfig
ninja: error: unknown target 'guiconfig'