At the time of writing, Conan doesn't provide a reliable Qt5 recipe.
So Conan can be used to install the dependencies except for Qt5.
After having setup Conan and installed the dependencies with
mkdir build
cd build
conan install ..
launch cmake with the proper CMAKE_PREFIX_PATH as usual
cmake -DCMAKE_PREFIX_PATH=C:\Qt\5.15.2\msvc2019_64\lib\cmake\Qt5