In Settings > Shipping and Delivery > Manage Rates there is a section where you can "Create Shipping Zone"
Brass tacks, I'm trying to figure out how to do that at all. This post https://community.shopify.com/c/Shopify-APIs-and-SDKs/Manage-Shipping-Zones-through-API/td-p/538964 mentioned there is no API method for that, but a reply mentions the possibility of GraphQL.
When looking in GraphQL, I can't find anything that uses the same terminology of Shipping Zone, though there are sections that sort of fit the bill. I basically need the app I'm developing to automatically add a zone for a particular country if that country does not exist already. The screen that creates it manually is attached.