The steps seem strange, but first you must create your appleid using a non Apple address (note that if you already have an @icloud, @mac, or @me email address that email address is already an Apple ID)

Once your Apple ID has been created, on the device go to Settings > iCloud and flip the mail switch on, you will be prompted there to create your @icloud.com email address.

Alternatively, you can go to setting and go to mail. From there, add account and choose iCloud. If you choose "create Apple ID" at this screen, for whatever reason, it will allow you to create an "@icloud.com" email.

source Apple kb

It does not seem possible to create an iCloud-only Apple ID after the fact.

However, you can create such an Apple ID during the initial setup process of an iOS device or macOS user account.

Create an Apple ID when you set up your device

4. Tap Use your current email address, or tap Get a free iCloud email address.

https://support.apple.com/en-us/HT204316

I've confirmed that this works from both iOS and macOS. Wipe an iOS device or create a new macOS user account and you will be allowed to create a new @icloud.com address rather than provide a 3rd party email address.

Each Apple device additionally seems to have a strict limit for the total number of iCloud Apple IDs it can create: Why won't my secondhand iPad let me activate an Apple ID?