Will mention this beforehand, I neither used parity nor I am knowledgeable of it. However, since you have not gotten any answer yet, I tried googling it and saw their Wiki with this answer:
Parity only allows to watch wallets and interract with them (view and sign transactions, send funds..). It does not allow to create multi-sig wallets.
Also this one which was posted over a year ago:
Currently we only support third-party multisig wallets, and not automatically deploying a new one for you.
You can pick any third-party multisig wallet you trust (those are just smart-contracts controlling the corresponding funds in Ethereum, after all) -- and after deployment you'll be able to add it into the Parity interface.
THis our approach might or might not change in the future.
And an old blog from 2017,
Create a Multi-Signature Ethereum wallet using Parity (just to remind you, this is not official from parity)
Thanks. I also found the link