You can create classes in SE24 and SE80.
The class is contained in Sources of Type Class Pool.
As said, you cant generate it explicitly.
Btw, the input field in SE38 is scrollable:
Although you can´t choose class-containing Includes in Value-Help, you can enter the Include-Names directly.
E. g. the Unit Test of Class ZWOLTEST is stored in include ZWOLTEST======================CCAU (take care for the length of the name).
Which background does your question have?
Regards
Stefan