Hi @Xu, Jia/许 佳 ,
As per my test, I am able to create a list on an existing list from "My lists" only when creating from exisiting list in my OneDrive personal site. If I access any other site collections, I won't get "My lists" option from the Select an existing list window.
It is by default in SharePoint Online and I'm afraid there is no such setting or option can add "My lists" option to Select an existing list window in other sites.
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