How do I add a mailbox to iCloud email?

In your Mac , system preferences > iCloud make sure Apple ID and password is signed in also you must have a web mail account already created ( like gmail , yahoo ..etc ) and that should be configured with IMAP account see this article https://support.apple.com/en-in/guide/mail/set-up-mail-with-your-email-accounts-mail35803/mac

When you create a mail box in iCloud section https://support.apple.com/en-in/guide/mail/create-or-delete-mailboxeswww.icloud.com

Note : for better performance keep web mail address same as Apple ID address .

The same mail box will be mirrored in www.icloud.com

See some screen shots .

These are screen shots of IMAP account and then in iCloud.com also click on refresh icon , the new mail box will immediately shown in iCloud.com