When Nemo is acting as the file manager for Firefox, for instance when saving a downloaded file, it does not create a new folder using the keyboard shortcut:
Ctrl + Shift + N
However, this works perfectly when using Nemo on its own.
Nemo is the file default file manager for the Cinnamon edition.
For Gnome it is Nautilus.
When I save a file, the dialog has got a folder symbol with a + sign in it in the top right just below the “save” button
but that dialog is not the file managers, as @scotty65 said.
As alluded to above … this is unlikely, as it should be some sort of ‘file-picker’.
If unconfigured this would be a generic gtk file picker.
Most optimally in your case this should be through xdg-desktop-portal-gnome portal.
Maybe tell us the values of those options in about:config, which portal packages are installed (pacman -Qs xdg-desktop-portal), and if absolutely necessary take a screenshot or use some other method to verify the identity of the window.**