They're not going to create a new world for you, so here's what you do:
Go to the opening FC Dynasty screen, bottom right you'll see Community. Click on Countries, and you'll see all the existing owner controlled clubs in FCD. Pick a country that has a number of teams in the single digits - that way you'll know it's a country that exists in only one world. If you and your friends all start a team in that country, you'll all get put into the same world the next time it rolls over.
Click on Worlds right under it, and you'll be able to find which world that country is in, which other countries are in that world, and what week the world is in... how long till it rolls over again. Again, check that this country appears only in ONE world.
For instance, right now I see there are only 3 Austrian teams. Those guys are the only real teams in their country right now, which means they're in there with 17 AI teams. They're in World 78 which is just beginning its season, so you'd have a bit of a wait till you get started playing.
Yes this would require a little organization on your part. Also, since WiS only allows one FCD team per user name, you might have to make an alias or two if you already have existing FCD teams. And third, the existing teams in that league would probably whip up on you guys for the first couple of seasons while you get ramped up.
Otherwise, that's how you get a group of owners into the same league at once.