Technically multi-signature wallets can create Lightning channels too (correct me if I am wrong guys), but the feature is not available in the wallets we use for example in Electrum.
You
can in theory, but then it would be non-interactive multisig where all the signing is automated and not done by people (except maybe one person [you] I guess).
The multisig where all the co-signers need to get online and send each other partial transactions from their wallets so that they can sign them is called interactive multisig, and as a consequence, does not work well with Lightning Network commitment transactions.