When I tried to find this Rayleigh distribution Mathematica couldn't come with an answer:

PDF[TransformedDistribution[
  Sqrt[x1^2 + x2^2], {x1 \[Distributed] 
    NormalDistribution[μ1, σ], 
   x2 \[Distributed] NormalDistribution[μ2, σ]}, 
  Assumptions -> μ1 == μ2 == 0], r]

I want to derive the Rayleigh distribution in parametric form. Mathematica could solve this for N~[0,1] and the answer is Rayleigh[1], but for N~[0,k] it has no answer.