Can I make a circular GIS Region? If not, are there any other alternatives?

You can, but not easily and you have to code it. See how to construct a GISRegion via code here.

As you can see, you need to specify the lat/lon pairs. So you need to write some code yourself that defines lat/lon pairs around a centre with a given radius. This may not be trivial, depending on the accuracy that you need.

Please tell me where to write and run the Java codes, like the functions that are mentioned in GIS region AnyLogic

Not really as it depends on your model setup. Pls first learn the basics of model architecture as described here.

PS: You may be much better off as a beginner to simply draw a circle and not use GIS for this, tbh