I learnt that drivers are on a disk, in what looked like the right directory (/lib/firmware/amdgpu/). They just were not loaded. After passing a few times the directory name via a CLI option I figured out that the path could be added to the dracut config.
Now, I have following config file on which make rebuilding kernel much easier.
cat /etc/dracut.conf.d/wawrzek.conf install_items+=/lib/firmware/amdgpu/*
Thanks to that I can simple run command like that to add ramfs to:
mkinitrd /boot/initramfs-5.4.0-1.img 5.4.0