Looking the Yammer API documentation I don't find any andpoint to create a group programmatically. After some reserch I found some post, some very recent, that give information regarding the possibility to do this via this API (https://www.yammer.com/api/v1/groups.json). I tried to use it in a demo tenant and it works. My question are: can we use this api? why this is not present in the official documentation? Are there other ways to do it using a documentated and supported procedure?
Many of the APIs are not documented because they are not officially supported. I assume the group creation is especially tricky now that Yammer has "Connected Groups" which associate with Office 365 Groups. You may want to explore using the Groups APIs to accomplish your task of creating Yammer groups.