There is no "new" keyword in AGS, so, no...Objects, Characters, and all the other managed types cannot be created from the script. You could, if you needed it, create a pointer to an Object:
[code]Object* pObjAtXY = Object.GetAtScreenXY(mouse.x, mouse.y);[/code]
(This would create a pointer to the object under the mouse (at that point)).
Why, might I ask, do you need this (what are you trying to do)?