You don’t create CA certificates in key vault. You install a CA certificate used to sign key vault certificates. Use can use a key vault CA partner to create and install, or manually install your CA cert created by a different source
https://learn.microsoft.com/en-us/azure/key-vault/certificates/certificate-scenarios
note: CA certificates are not free, unless you use a self signed certificate. If self signed, it must be installed as trusted CA certificate on any platform where any of its signed certs are used.