"on my mac" calendar option missing from New Calendar menu
Apparently you'll have to:


Disable iCloud by going to Calendar > Preferences > Accounts. It seems important just to disable iCloud from Calendar's preferences, not completely sign out of it from within System Preferences.
Create a new calendar which name does not conflicts with any calendars you've already got in your iCloud.
Enable your iCloud account.


This will make the new calendar, under On My Mac to remain.