Triggering Jenkins Multibranch pipeline when there is a pull request created in GitHub
Under the webhook section, you can choose Let me select individual events option. Under that you can have push selected by default and also can select Pull Request which helps you to do wnat you are looking for Pull request opened, closed, reopened, edited, assigned, unassigned, review requested, review request removed, labeled, unlabeled, or synchronized.
To achieve this, I have selected "Send me everything" under GitHub Webhooks section.Then I was able to trigger builds automatically whenever a PR is raised on GitHub.
As @RSharma mentioned, I have selected only "Push and Pull Request" under "Let me select individual events" section.
PS: The GitHub branches are automatically detected in Jenkins.