@Raja Khan - Thanks for the question and using MS Q&A platform.
Currently. there is no programatic (PowerShell, CLI or Rest API) way to create Classification via powershell.
These are the available powershell and rest apis for MS Purview:
https://learn.microsoft.com/en-us/powershell/module/az.purview/?view=azps-12.3.0&viewFallbackFrom=azps-12.1.0
https://learn.microsoft.com/en-us/rest/api/purview/
Here is the update from internal team: Programatic way to use data goverance will be coming shortly. We don't have ETA and I will be updated this thread once it's available.
Hope this helps. Do let us know if you any further queries.
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