create category on theme setup

You can use the after_setup_theme for this
eg:

add_action( 'after_setup_theme', 'custom_add_cat' );

function custom_add_cat() {
    //Create Custom Category
    wp_insert_term(
    'Custom Category', 
    'category', 
    array('slug' => 'custom-category')
    );
}

Read here for more info: https://developer.wordpress.org/reference/hooks/after_setup_theme/