How do I change the second authentication method to a phone call for iMessage?

Not sure what you are referring to. iMessage, does not send iMessages for activation.

click here ➜ Set up Messages on iPhone - Apple Support

and here ➜ If you can’t turn on or sign in to iMessage or FaceTime on your iPhone - Apple Support

If you mean the Two-Factor authentication code used when logging into an Apple Account, this is unrelated to iMessage at all, that can be sent through voice call if you have previously set up a trusted phone number for voice calls on your Apple Account.

click here ➜ Get a verification code and sign in with two-factor authentication - Apple Support

If you mean the activation SMS for iMessage, that's just an SMS sent to an Apple Server, you don't get those and there's no voice call option since there's no one on the other side to listen to those messages.

1. You should never be using your iPhone's own phone number as the trusted number for SMS or voice calls. That defeats the entire purpose of having an additional option to receive codes on.
2. You would have needed to set up your number as a Trusted number for Voice Calls rather than SMS to get a voice call to it.
3. If you are signed in to your Apple Account on a different device or are already signed in to your Apple account on this iPhone, you should be able to add a new number to your trusted phone numbers in Settings ➜ Account ➜ Sign In & Security ➜ Two-Factor Authentication ➜ Add a Trusted Phone Number and set it up as a Phone Call rather than SMS.