Record Action - Make New Document using Preset Clipboard

If there is no solution in actions, you could script the step, perhaps that isn't broken:

#target photoshop

try {
    // New Doc from Clipboard - Courtesy of the late Michael L. Hale
    var desc = new ActionDescriptor();
    var desc1 = new ActionDescriptor();
    desc1.putString(stringIDToTypeID("preset"), "Clipboard");
    desc.putObject(charIDToTypeID("Nw  "), charIDToTypeID("Dcmn"), desc1);
    executeAction(charIDToTypeID("Mk  "), desc, DialogModes.NO);

} catch (error) {
    alert("The clipboard is empty or does not have suitable content to create a new document!");
}

https://prepression.blogspot.com/2017/11/downloading-and-installing-adobe-scripts.html 

@emmanuelc51313331 I hate to say it but you are absolutely correct a change in behavior in a recent versions of Photoshop. When you record an action to create a new document using the "Clipboard" preset, Photoshop now records the specific pixel dimensions of the item on the clipboard at the time of recording, rather than the dynamic Clipboard preset itself.