You can also create the file directly with R code, e.g.
file.edit("path/to/file.Rmd")
If the requested file path does not exist, it will be created and the appropriate editing mode will be inferred from the file extension as per usual. (although note that the file's parent directory must already exist)
In theory, you could also build an RStudio Addin that accomplished this for you, with a shortcut and perhaps some minimal UI for selecting a file path.