Can I create dynamically stages in a Jenkins pipeline?

Use the scripted syntax that allows more flexibility than the declarative syntax, even though the declarative is more documented and recommended.

For example stages can be created in a loop:

def tests = params.Tests.split(',')
for (int i = 0; i < tests.length; i++) {
    stage("Test ${tests[i]}") {
        sh '....'
    }
}

As JamesD suggested, you may create stages dynamically (but they will be sequential) like that:

def list
pipeline {
    agent none
    options {buildDiscarder(logRotator(daysToKeepStr: '7', numToKeepStr: '1'))}
    stages {
        stage('Create List') {
            agent {node 'nodename'}
            steps {
                script {
                    // you may create your list here, lets say reading from a file after checkout
                    list = ["Test-1", "Test-2", "Test-3", "Test-4", "Test-5"]
                }
            }
            post {
                cleanup {
                    cleanWs()
                }
            }
        }
        stage('Dynamic Stages') {
            agent {node 'nodename'}
            steps {
                script {
                    for(int i=0; i < list.size(); i++) {
                        stage(list[i]){
                            echo "Element: $i"
                        }
                    }
                }
            }
            post {
                cleanup {
                    cleanWs()
                }
            }
        }
    }
}

That will result in: dynamic-sequential-stages