Hi,
Yes, we can create a custom entity in Dynamics 365 for Talent.
1) Login to https://web.powerapps.com/
2) Make sure you are in the right environment
3) Click on Data -> Entities, Create new Entity OR Click Solutions -> Create New Solution -> Create New Entity
4) If you need to display this entity to Users, develop a PowerApp and integrate with Talent
Thanks
Srinaath