Is creating your own "experiment" considered cheating during a physics exam?

No, this is perfectly fine. In physics, it is common to see students making odd motions as they think through the problem or apply rules like the right hand rule. The usual caveats apply: you must not be distracting or obnoxious, must not broadcast data that other students could use to cheat, and must follow all announced regulations.

Yes, like with anything else, there are a million corner cases and caveats and unreasonable proctors that we could have fun trying to anticipate -- but I suggest we find more productive ways to spend our mental energies.

If there isn’t any rule that prohibits it, it isn’t cheating. It’s the university’s job to make the rules, and it’s your job to follow them - it’s as simple as that. A professor who complains because you solved a problem using a creative method that they didn’t think about should be more careful the next time they write an exam.

If it's qualitative there probably won't be a problem unless the rules of the exam explicitly prohibit it, similar to how some exams prohibit calculators.

That said if it's a quantitative problem you can expect to lose marks. I remember a math exam with a geometry problem which said something like, this length is A, this length is B, this is a circle, etc, what is this angle? A student who solved the problem by constructing the diagram and then measuring the angle would not get full marks.