I know define the layout for a controller, I know a layout set in a MainController class and extend it to all my controllers. But still could not find how to set a different layout for all visitors and any controller, especially the external modules such as yii2-user.
You have to set the $layout property of your module described in the Guide - using Layouts.
Follow the guide and try it yourself. If you have problems provide more details (code, etc.) what you have already tried and for sure someone is going to help