Could I create Peltier cooling module from iron and copper?
Yes, it would 'work', because iron and copper have somewhat different Seebeck coefficients (6.5 and 19)- both positive, unfortunately. 

I think it would be about useless, however. The extremely high thermal conductivity of the metals will (thermally) short the output so even the miserable efficiency of a conventional Peltier device would be unachievable. 

You can buy a real Peltier module for less than $5 shipped from China, on eBay, so why bother?