Does Jenkins job create Jenkinsfile? On execution
No, Jenkins file is not created at execution. 
Actually Jenkins file is a suite of all steps or activity which you want to build as a job or a groovy code.

Jenkins file come from code repository, if you added file in your project.

Below is a Jenkins file example:

pipeline {
    agent any

    stages {
        stage('Build') {
            steps {
                echo 'Building..'
            }
        }
        stage('Test') {
            steps {
                echo 'Testing..'
            }
        }
        stage('Deploy') {
            steps {
                echo 'Deploying....'
            }
        }
    }
}


for more reference watch this video: https://www.youtube.com/watch?v=KZY4Rwsewro