The trickiest part is setting up your app and authentication. Beyond that, you'll POST the /children method/data in the Microsoft graph API to create the folder where you want. The same API serves OneDrive and SharePoint Online. I found the Microsoft Graph Explorer to be a really useful tool to test things.
SAS For Dummies 3rd Edition! Check out the new edition, covering SAS 9.4, SAS Viya, and all of the modern ways to use SAS!