I am am trying to load the genome for a fungus named Coccidioides immitis using AnnotationHub. The data is not in the UCSC database. I know the data is in FungiDB and the NCBI ftp site, which are listed as data sources. Any suggestions?

What exactly do you mean by 'genome'? The actual sequences for each chromosome? The gene locations?

If the latter, consider:

> library(AnnotationHub)
> hub <- AnnotationHub()
> z <- query(hub, c("coccidioides immitis", "gff"))
> z
AnnotationHub with 4 records
# snapshotDate(): 2019-04-23 
# $dataprovider: FungiDB
# $species: Coccidioides immitis
# $rdataclass: GRanges, OrgDb
# additional mcols(): taxonomyid, genome, description,
#   coordinate_1_based, maintainer, rdatadateadded, preparerclass, tags,
#   rdatapath, sourceurl, sourcetype 
# retrieve records with, e.g., 'object[["AH65067"]]' 

            title                                              
  AH65067 | Coccidioides immitis RS genome wide annotations    
  AH65102 | Coccidioides immitis H538.4 genome wide annotations
  AH65332 | Coccidioides immitis RS transcript information     
  AH65367 | Coccidioides immitis H538.4 transcript information 
> CI <- hub[["AH65367"]]

> library(GenomicFeatures)
> CITX <- makeTxDbFromGRanges(CI)
> CITX
TxDb object:
# Db type: TxDb
# Supporting package: GenomicFeatures
# Genome: FungiDB-39_CimmitisH538-4
# transcript_nrow: 10779
# exon_nrow: 34394
# cds_nrow: 33111
# Db created by: GenomicFeatures package from Bioconductor
# Creation time: 2019-04-24 12:17:05 -0700 (Wed, 24 Apr 2019)
# GenomicFeatures version at creation time: 1.35.9
# RSQLite version at creation time: 2.1.1
# DBSCHEMAVERSION: 1.2
> genes(CITX)
GRanges object with 10724 ranges and 1 metadata column:
             seqnames      ranges strand |     gene_id
                <Rle>   <IRanges>  <Rle> | <character>
  CIHG_00001 DS016981 23315-24814      - |  CIHG_00001
  CIHG_00002 DS016981 25495-26017      - |  CIHG_00002
  CIHG_00003 DS016981 26612-27769      + |  CIHG_00003
  CIHG_00004 DS016981 28041-28790      - |  CIHG_00004
  CIHG_00005 DS016981 30086-32910      - |  CIHG_00005
         ...      ...         ...    ... .         ...
  CIHG_11112 DS017050 56849-56930      + |  CIHG_11112
  CIHG_11113 DS017057 33332-33404      + |  CIHG_11113
  CIHG_11114 DS017059 28091-28181      - |  CIHG_11114
  CIHG_11115 DS017074 13684-13767      + |  CIHG_11115
  CIHG_11116 DS017239   3077-3148      + |  CIHG_11116
  -------
  seqinfo: 229 sequences from FungiDB-39_CimmitisH538-4 genome; no seqlengths

If you mean the actual sequences, then there is a vignette.