two PWMs, individual control, 20 LEDs
I think I may have misread your question.

there are 20 outputs from MCU for these 20 LEDs.

In that case you simply need to implement software pwm.  Probably you can simplify and effectively have two channels: one for &quot;everybody&quot; and one for the selected one.  And if you make it so that the selected one is turned on first, then you don't even have to worry about excluding it from the general group, since it is already on.
Basically this will take for the form of needing one timer interrupt (or RTOS task, or whatever), repeatedly cycling through a few states, where &quot;wait&quot; means &quot;program the next timer interrupt to occur&quot;

If an LED is &quot;selected&quot; wait the off-time for its brightness, otherwise skip
Turn on the selected LED
wait the remainder of the off time for the other, dimmer LEDs
turn on all the LEDs
wait the on time for all LEDs
repeat

Another option would be to build some external logic where all LEDs are controlled by one PWM, but an LED whose corresponding output is activated gets controlled instead by a second PWM.  But that probably means a lot of chips or a CPLD; the software method is likely better.

Or you could give up the idea of PWM brightness, and use resistors instead.  Wire the anode of each LED to the supply and the cathode through an individual resistor to ground, chosen for dim illumination.  Then also wire each cathode through a diode and a smaller resistor to a GPIO.  Drive that GPIO low, and you brighten that particular LED.  It would be tempting to skip the diodes and use open drain outputs, but that would often put an intermediate voltage level on the pin, which is undesirable, so it's better not to do that unless you can put unactivated pins in something like an &quot;analog&quot; mode which disables the input totem pole logic.

Previous answer based on the (mistaken) idea you needed to do this all with 2 pins
Since you say you want individual control, this will of course not be possible without external circuitry.
One option would be to get an I2C multi-channel PWM LED driver, and bit-bang I2C on those two pins you were going to use for PWM.   For example the TB62D612FTG came up in a parametric search as having 24 channels, though I've not tried it.  There are many offerings from other makers, too.  There are various 16 or so channel parts available on eval boards from Adafruit if you'd like to play with possibilities before committing to your board design.
There are also some additional options if you can find one more GPIO to be able to use more SPI-like protocols.
Another options would be to use addressable LED methods.  Either get a monochrome (or if you prefer) LED smart &quot;pixels&quot; and daisy chain them, or get the individual 3-element driver ICs and wire them to groups of three monochrome LEDs rather than the usual RGB combos.
If you had a lot more generic I/Os and the processor didn't have a high workload, you could also presumably use &quot;charlieplexing&quot; and software PWM.  Or you could have a cheap assistant processor do that.