Can I create custom taxonomy what dont creates slug pages?

It depends on what exactly you want, but you can play with public, publicly_queryable and other arguments when registering the taxonomy.

For example, with the following code, the taxonomy will have the user interface in the backend, but won’t be public and WordPress won’t generate a URL for each term:

add_action( 'init', 'register_custom_tax' );
function register_custom_tax() {
    register_taxonomy(
        'my-tax',
        'post',
        array(
            'public'  => false,
            'show_ui' => true
        )
    );
}