It didn't create it, I had to create it myself. Then I closed the wallet and relaunched it. Here is my my mitocoin.conf

listen=1
port=11533
rpcport=11532
addnode=46.101.82.192:11533
addnode=104.236.37.180:11533
server=1
rpcuser=create-trgnn
rpcpassword=xxx
rpcallowip=127.0.0.1
daemon=1
gen=0