How to turn on the debug menu? Normal method doesn’t work.

When I go to Documents > My Games > Civ Vi only the folders Mods, ModUserData, and Saves appear with one SQLITE file named HallofFame. Normally there’s supposed to be a bunch of files and you’re able to turn on the debug menu in one of them, but I don’t have it. How do I do it? I bought it on the Anthology Edition on Steam on sale for $20.