According to the web link it should be an available parameter for the R package:
https://xgboost.readthedocs.io/en/stable/parameter.html
However, when attempting to use this an objective function (R package version 1.7.7.1) this is the error message:
Error in xgb.iter.update(bst$handle, dtrain, iteration - 1, obj) :
[12:41:04] src/objective/objective.cc:26: Unknown objective function: reg:quantileerror
Objective candidate: survival:aft
Objective candidate: binary:hinge
Objective candidate: rank:pairwise
Objective candidate: rank:ndcg
Objective candidate: rank:map
Objective candidate: multi:softmax
Objective candidate: multi:softprob
Objective candidate: reg:squarederror
Objective candidate: reg:squaredlogerror
Objective candidate: reg:logistic
Objective candidate: binary:logistic
Objective candidate: binary:logitraw
Objective candidate: reg:linear
Objective candidate: reg:pseudohubererror
Objective candidate: count:poisson
Objective candidate: survival:cox
Objective candidate: reg:gamma
Objective candidate: reg:tweedie
Objective candidate: reg:absoluteerror