You are not doing anything wrong. Photoshop for iPad does not offer CMYK. You can convert in PS for Desktop later. Since your question is about Photoshop for iPad, I have moved this from the Photoshop forum where you posted to PS for Mobile.
Although Photoshop on iPad only creates documents in RGB right now, Photoshop on iPad can open documents in other color modes. So you can’t create a CMYK document in the current version of Photoshop on iPad, but if you create a CMYK document in desktop Photoshop and save it to Cloud Documents, you can open that in Photoshop on iPad. Photoshop on iPad will warn you that “some features aren’t supported.”