How to set each keyboard layout to its very own shortcut combination (imitate Windows functional)?

It can be done with a script.

• Save the below script as $HOME/bin/mylayouts

• Make it executable:

  chmod +x $HOME/bin/mylayouts
  

• Relogin

Now you can switch layout by running for instance

mylayouts us
mylayouts ro_std

And that in turn allows you to create custom shortcuts for the purpose.

This is the example script:

#!/bin/bash -e

# layouts
us="('xkb', 'us')"
ro_std="('xkb', 'ro+std')"
latam="('xkb', 'latam')"
es="('xkb', 'es')"

case $1 in
  us)     NEW=us
    ;;
  ro_std) NEW=ro_std
    ;;
  latam)  NEW=latam
    ;;
  es)     NEW=es
    ;;
  *)      echo "Invalid argument"
          exit 1
    ;;
esac

NEWLIST="[${!NEW}"
for L in 'us' 'ro_std' 'latam' 'es'; do
    if [ "$L" = "$NEW" ]; then
        continue
    else
        NEWLIST="$NEWLIST, ${!L}"
    fi
done
NEWLIST="$NEWLIST]"

gsettings set org.gnome.desktop.input-sources sources "[${!NEW}]"
gsettings set org.gnome.desktop.input-sources sources "$NEWLIST"

If you adapt the script to your needs, you can now from Ubuntu Settings create custom shortcut like:
name: us_colemak
command: mylayouts.sh us_colemak
shortcut: Ctrl + Shift + 5

Caveat:

Using numerical keys as part of the shortcut is a bit tricky. If you for instance use the English (US) layout when creating a shortcut by pressing Ctrl+Shift+2, the shortcut actually created is Ctrl + Shift + @ (since Shift+2 results in the @ character with the English (US) layout). Then, if you for instance are on a latin layout, where Shift+2 results in the " character, the shortcut Ctrl+Shift+2 won't give you the expected result.

Probably it's less error prone to use letters instead of numbers.

In any case, this answer is not a perfect solution. There is apparently room for improvement.