That can only happen if you are using an IMAP or Exchange account. If you have a POP account, there is no way to create mailboxes anywhere except on the computer. Mailboxes cannot be created on the iPhone or iPad for a POP account.
You need to go into Settings>Mail, Contacts, Calendars and check the gmail account. I do not use IMAP or gmail, but all mail settings are there. If there is no setting there, I am not aware of any other method.