If an "Untitled" buffer is already open, you can just begin typing and save it to create a new file. You can also create a new untitled buffer by invoking File>New File (keyboard equivalent: Control-N). Another way to create a new file is to specify a non-existent file name on the command line or in the Open Path dialog box; if jEdit is asked to open a file it can't locate, it will be created next time you save.