How do I create an empty file in emacs?

You can use the touch command:

M-! touch __init__.py RET

If you want Emacs to treat all new files as modified, you can automate the solution like this:

(add-hook 'find-file-hooks 'assume-new-is-modified)
(defun assume-new-is-modified ()
  (when (not (file-exists-p (buffer-file-name)))
    (set-buffer-modified-p t)))

The following works:

C-x b __init__.py RET C-x C-w RET

If you're in a dired buffer the file will be saved in the directory show here.

The trick is to first create an empty buffer by switching to a name that doesn't exist. Then write out the file.