Use
-OrganizationalUnit
https://learn.microsoft.com/en-us/powershell/module/exchange/new-distributiongroup?view=exchange-ps
New-DistributionGroup -Name "DL1" -Alias "DL1" -DisplayName "DL1" -SamAccountName "DL1" -OrganizationalUnit "OU=MyOU,DC=contoso,DC=com"
"OnPremisesOrganizationalUnit" only applies for remote mailboxes:
https://learn.microsoft.com/en-us/powershell/module/exchange/new-remotemailbox?view=exchange-ps