In Linux (which is actually the kernel of the OS you are running on your Raspberry Pi) a network interface named
eth0 is a wire network interface. So the cable you plug in your RPi on one end, and probably on your router (or a switch) on the other end, is called an Ethernet cable (or network cable).
So if you are using the Ethernet cable (even if plug to a "WiFi" router), it is not using WiFi so you want find a
wlan0 to configure but you need to configure
If now you plug a WiFi card on the USB port (e.g. a USB WiFi dongle) and this WiFi card has a driver for Linux (actually called a module), then you will see a new interface called
wlan0. But if you don't have one, of course there won't be one interface with such a name.
I know it is also possible to get a WiFi board via the GPIO ports, but I'm not sure if you will see a wlan0 then. Anyway, this is a bit more "advanced" and probably easier to just use a USB dongle!