Well, it depends on your definitions. Stations are basically smart playlists with pretty limited options. They're (smart) playlists as I've always used them. I use playlists all the time, but I've never used them in the way you describe here, which is of course fine; the beauty of the way things used to be is that we could take different approaches. Now the options are more limited. As I said above, the "dumb"/manually managed playlists (i.e. on-the-go) options are awful. That doesn't particularly bother me because I've never used manually managed playlists very much, but rather just smart/automatic ones. The smart playlist options are moderately powerful on the current iteration, but man, the implementation and usability are garbage.
The Podcasts app got rid of the name playlists a long time ago - I'm not sure if it's ever had "playlists." They've definitely been called "stations" for a year or two. (I think the renaming is dumb and I don't know why Apple did it.)
Practical point #1: you don't have to listen to all of the episodes for a podcast in a row. There's an option in Station Settings, called "Group by Podcasts" or something like that - if you turn that off, then the episodes will be sorted separately, from oldest to newest, or newest to oldest, or your own manual order.
Practical point #2: you can play one episode and then stop. That's an option too. There's the sleep timer - the crescent moon at the bottom - and you can choose for the playback to stop at the end of the current episode. Mind you, other users have reported that it's unreliable.
Practical point #3: if you go to an episode, you can press that little three-dot icon and then add the episode to Up Next. You can then go that list, and play it. I'm not sure if you can edit the order - I think I once found a way to do it, but it's not something I really cared about too much so I didn't explore it. It's certainly not simple or fast trying to fumble for those little three-dot icons, but the option is there. Apple should get rid of those Charts or Popular buttons or whatever they are and replace one of them with the On-the-Go/Up Next function.
I've moved to Overcast because the current Podcast app has been hopelessly unstable and buggy, but for your playlist wishes, I don't think Overcast will be any better for you. As far as I've found they just have [smart] playlist/station options (whatever you want to call them), with nothing really equivalent to on-the-go. I'd welcome any corrections on that - as I said, I've never really used on-the-go and don't particularly want to, so I haven't dug too hard into finding that option.