When I settled into a new colonial area, for this case california, it asked for me to create a new colony or keep it for myself. I kept it for myself and now I want to create one but I don't know how to create a colonial nation. How do I do this?

If I choose not to form a colonial nation can I come back and form one later?

To answer both of your questions, at this time the decision you make is final, but that is something I am looking into for later versions.

Are there any new colonial nations that can form?

any chance of breaking up colonial oceania into colonial Papua, Colonial New Zealand and Colonial Pacific/Oceania?