It’s now possible to create a new net in pcbnew with Inspect -> Net Inspector. It can then be assigned to a pad in the pad properties. The change can also be fed back to the schematic with Tools -> Update Schematic from PCB (with more or less success).
This is an answer to long standing need for easier PCB-only design (WireIt plugin has been used for it).
Again, I opened a new thread for discussion: Creating nets in Pcbnew (5.99).