pg_dump dumps a single DB. The manual:
pg_dump only dumps a single database. To back up an entire cluster, or
to back up global objects that are common to all databases in a
cluster (such as roles and tablespaces), use pg_dumpall.
pg_dumpall dumps the whole DB cluster, including
global objects (roles, tablespaces, ...).
Postgres 12 adds the switch
--exclude-database. The manual:
Do not dump databases whose name matches pattern. [...]
A specific DB name in the connection string is ignored. The manual:
Specifies parameters used to connect to the server, as a connection
string. See Section 34.1.1 for more information.
The option is called
--dbname for consistency with other client
applications, but because pg_dumpall needs to connect to many
databases, the database name in the connection string will be ignored.
-l option to specify the name of the database used for the
initial connection, which will dump global objects and discover what
other databases should be dumped.
To dump some DBs but not all, use a shell script, like has been advised. You may want to include commands to create each DB in the dump: