The iPad Photos app is not able to make photo albums directly. To do this you need to create the albums on your PC or Mac and then synchronise with the iPad. Those albums will then be copied to the iPad. On a similar note, photos that you've synchronised with your PC or Mac cannot be deleted on the iPad; they must be deleted or moved on the PC or Mac first of all and then the iPad resynchronised.
If this restriction is too cumbersome, then there many third-party photo apps - many free - that allow you to create albums directly on the iPad.
Tim