I am using Kubuntu for a long time but today when I tried to create a folder using Ctrl+Shift+N nothing happened and then I realised the shortcut is F10 in KDE Plasma. I tried to change it but I was not able to find any option in global or standard shortcut settings.
In Settings, click on Configure Shortcuts…. (Alternatively, if you have the Control icon (☰) instead of the conventional menu, click on it and then on Configure Shortcuts….)
In there, scroll down till you find Create Folder…. You'll see F10 as the shortcut and possibly a blank space next to > in the Alternate column.
Click in the marked area and you'll get something like this:
Click on None (or whatever else is there) and then enter Ctrl+Shift+N if that's the shortcut you want. You may see a pop-up indicating that the shortcut may already be in use. Just click Reassign and then on OK.
That should now allow you to use Ctrl+Shift+N to open a new folder in Dolphin.