Inexplicably, you can't create a new folder when specifying outputs locations in Pro.
It is coming in an upcoming release depending where you want to make them
https://community.esri.com/ideas/12610-give-us-back-the-basic-ability-to-create-folders-within-dialog
If that isn't what you mean, then could you specify when you need to make a folder.
I'm glad this is being implemented. I have just worked around it so much that I kinda forgot that you can't do this!
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