Are there any bike GPS computers / devices that can create routes themselves out on the road?
Yes.

The Garmin Edge 530/830/1030 can be loaded up with extensive map data, and can give you live routing, even without a cellular connection.
Wahoo's ELEMNT ROAM can also do routing on the fly.
The Sigma Rox 12 also has extensive navigation functions.
Probably others.

There are some smartphone apps that can do this—I think the best-known are Ride with GPS and Komoot. The idea with these apps is mostly that you would use them instead of a dedicated bike computer, not together with one, but you can do that too. They create a route stored in the cloud that you can sync down to your bike computer (using the phone as a hotspot, of course).