Different Mail providers may have differing implementations.
I have just tested and confirmed that iCloud Mail for iOS/iPadOS certainly does not provide facility to add sub-folder mailboxes to the iCloud Mail account.
For iCloud Mail, you might be best advised to seek assistance and clarification directly from from Apple Support. You can contact the Support Team using the Get Support link at top-right of this page.
Alternatively, you can initiate and manage your support cases using the excellent Apple Support App. If not already installed on your iPad, the App can be downloaded from the App Store:
https://apps.apple.com/gb/app/apple-support/id1130498044
*** Update ***
Having also performed this test with another Mail provider - and verified via webmail (using a web browser) - it appears that the created sub-folders are visible via webmail, but not via the iOS/iPadOS15 Mail App. When tested with iPadOS14, the mailbox sub-folder is visible.
As such, it is possible that you have uncovered a bug in iPadOS15.
Please contact Apple Support - and submit a bug report via Apple’s Product Feedback portal. For iPad and iPadOS:
Product Feedback - Apple