[Plugin or integral feature?]
Currently if you create a link
foo doesn’t exist, cmd-clicking on it creates a new note in the vault root, even if the referencing note is in a subdir. Such an option will create the new file in the same dir. as the referencing note.
The file explorer allows creating a new note in a subdir if you right click on the subdir name, so I suppose instead of cmd-clicking on the link, you can first create a new file in the same dir, rename it, switch back to the referencing node but it should be possible to combine this in one keystroke!