This appears to be a chicken and an egg issue. I have a newly created next-gen project. I need to create an epic. And can't.
- I can see Project settings -> Issue types of Epic, Bug, Story, Task, Subtask

- When I want to "Create Issue" in the backlog, it only gives me three choices: Bug, Story, Task (see image)

- I cannot convert the issue to an Epic as there's not an option to choose Epic.

- In an already created Story, there is an "Add Epic" link which says to "Choose parent issue" and it says "No options"

There's no Epics because I can't create one. Because I can't create one, there's nothing to pick from so I can't add a story to an Epic because unable to create.