How to Integrate Amazon API Gateway with EKS using Application Load Balancer (ALB)?
From the same page:
The steps to integrate ALB and NLB with API Gateway are identical.

Which follows by a sentence with a link to a documentation for an ALB ingress, including prerequisites for VPC subnets and EKS resources.
Yes, you have to create one unless you'd want to configure ALB manually instead of using Ingress manifests inside k8s.