I've read a couple of people complaining and claiming that the game doesn't have this feature. I just got the game myself and figured it out as soon as the game put me into action. Seriously...
- Open your weapon wheel (L1 on PS4)
- Cursor to the left where you can see Fist icon (melee)
- If you own a melee weapon, you can scroll through the Melee type with D-Pad and find the Fist icon
This was mentioned in the tutorials that shows up in the beginning.