Sure, you can use the New-AzureADMSGroup cmdlet: https://learn.microsoft.com/en-us/powershell/module/azuread/new-azureadmsgroup?view=azureadps-2.0
Here's also a Graph example: https://learn.microsoft.com/en-us/graph/api/resources/groups-overview?view=graph-rest-1.0#dynamic-membership