User Data in launch configuration of amazon web services
Make sure the EC2 instance has permissions to create the volumes. See https://aws.nz/best-practice/ec2-instance-roles/
Check for the errors in /var/log/cloud-init-output.log and (much more verbose) /var/log/cloud-init.log
Be aware that you can't attach volumes from other AZs to your EC2, so not quite sure why you would want to create them from the launch script.
(added based on comments) Specify region: aws --region us-east-1 ec2 create-volume ...


Hope that helps :)