Hi,
You can simply create a new mail folder by doing the following:
Open Mail app
Press VO+M and then right arrow until you hear mail box (I hope it's called mail box in English macOS) ;-)
Press down arrow until you hear "New mail box" and press enter"
Now, you can type in the name of the mail folder and select the location within the popup menu. When you are ready, select the ok button and press VO+space.
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Creating new folder in the menu bar