Try this
Right click the sheet tab of the sheet with the validation drop down > select View Code > paste this into the sheet module that opens.
You'll need to adjust the drop down cell address to what you have. A2 is used here.
Code:
Private Sub Worksheet_Change(ByVal Target As Range)
Dim ws As Worksheet
'limit to the specific cell
If Target.Address <> "$A$2" Then Exit Sub
'check if sheet already exists
On Error Resume Next 'suppress error message in case doesn't exist
Set ws = Sheets(Target.Value)
On Error GoTo 0 're-enable error messages
'if ws is nothing then sheet doesn't exist
If ws Is Nothing Then
'add the sheet to end of tab lineup
Worksheets.Add After:=Sheets(Sheets.Count)
'the newly added sheet is now the active sheet, name it
ActiveSheet.Name = Target.Value
'go back to original sheet
Me.Select
'display message
MsgBox "New sheet added for " & Target.Value
Else
'the sheet alread exists, display message
MsgBox "A sheet for " & Target.Value & " already exists."
End If
End Sub