You create a database by supplying a new database name in the connection URL and specifying create=true. Derby creates a new database inside a new subdirectory in the system directory. This system directory has the same name as the new database. If you specify a partial path, it is relative to the system directory. You can also specify an absolute path.
jdbc:derby:databaseName;create=true
For more details about create=true, see "create=true" in the Derby Reference Manual.