Wrong, two times wrong. First because you can add a folder in the Applications folder in macOS (I just checked) and this is not the place to put data in (even it it works).
A Xojo app cannot create a new folder in /Application. It does not have the permissions. Of course, an administrator (usually the main user) can.
To play devil’s advocate, Xojo is the perfect example of distributing tons of data with the executable within a folder. But the user drags himself that folder into /Applications.
In the SelectFolder, you have a button that let you create a Folder.
It was late in the night when I wrote that. The mistake is when I do not use f.CreateAsFolder. But the answer is still valid: Xojo using SelectFolder is able to create a Folder in the Application folder.
But:
Dim f As FolderItem
f = SelectFolder
If f <> Nil Then
f = f.Child("MyFolder")
f.CreateAsFolder
End If
It’s a bit offtopic, but IMO, such data belongs in the Application Support folder. Special.ApplicationData.
The user documents is for documents of the user. Not a database that an application needs to work.
The OP seems intent to providing his customers access to the files. But indeed. Leaving that in Documents is a recipe for a catastrophe.
Personally, I would never put anything elsewhere than within a subfolder of ApplicationData. If I want to provide files, the app has a button that saves a copy for the customer.