In the Creating issues using the CSV importer documentation it is mentioned:

If your custom fields don't exist yet in Jira, the importer can automatically create them for you.

But it is not possible to do so in the bulk create issues feature.

The option of creating custom fields requires Jira Administrators permission.
And the bulk creation of issues is available for non-admins as well, hence, the importer won't offer the option New custom field as it offers when using the External system import feature.

The importer creates the mappings, but only to existing fields in Jira.