You cannot create databases that way, you have to use PHPMyAdmin to do that. (My bad - I meant the “MySQLDatabase” section in the control panel, or the client area)
Also, when creating a connection, you have to specify the database name (hance why it cannot be created via PHP)
Not phpMyAdmin, but the control panel or client area.
You cannot create databases from your own SQL code, it must be handled through our systems to ensure the correct naming scheme, database permissions and so on are correctly set up.