How do I create a new folder on iPad Air?

You can learn about using the iPad Files App, where you can create and mange folders, here:

Use the Files app on your iPhone, iPad or iPod touch – Apple Support

This Apple YouTube video my also be helpful:

https://youtu.be/I5EA8il5ojQ

The iPad User Guide for iPadOS is also a rich source of information - where you can learn how to use the many features of your iPad. Here are links to both the downloadable and online versions of the Guide:

https://help.apple.com/epub/ipad/en/

https://support.apple.com/guide/ipad/welcome/ipados

Are you creating a folder for applications or in iCloud Drive App?