You cannot.
Someone created a thread a while ago asking for "Create a Team" sports teams (hell, it might have been you) and I had looked to see if you could.
You could get around it I believe by just creating a bunch of people and then "trading" them to a single team but I don't even think you can overmax their stats if that's what you're looking to do (you just get to set the rookie stats, which will give you a team full of 75-80 rated players). I checked NHL 17 as well and it's the same so presumably this is the case for all the EA Sports vidja games.
I haven't fully looked into it though so I may have missed something. I'm not interested in the "Create a Player" setup so it's not something I'm terribly familiar with.