When we try to create an issue in the JIRA cloud using the Teams and JIRA integration, we are not able to select the "Sprint" value. It is giving us an error message "The board does not support sprints".
This is exactly what it says it is - you are trying to create an issue in a project that does not have a sprint board.
Check the project you're trying to create in - if it's a team-managed one, does it have sprints enabled under project settings -> Features? If it's a company-managed one, check that it has at least one Scrum board associated with it.