The option to change the general headings fonts is not yet available in the WordPress site editor.
It should be available sometime in a future WP update, as it is a work in progress.
Please see https://github.com/WordPress/gutenberg/issues/37433 and https://github.com/WordPress/gutenberg/issues/36546
Some of the specific heading blocks such as Site Title and Post Title do however have the option to change the font.
For example the Site Title block: in your dashboard navigate to ‘Appearance’ > ‘Editor’.
Open the ‘Styles’ panel if not already open (the icon in the top right that looks sort of like a half-moon).
In the Styles panel go to ‘Blocks’ > ‘Site Title’ > ‘Typography’ where you can select the font in the ‘Font family’ option.
