Gradebook columns are automatically created when graded assignments, graded quizzes, or graded discussions are created. Columns appear for both published and unpublished items. There is no way to create a column without creating a graded assignment, quiz, or discussion.
Even for assignment without online submissions, an assignment shell needs to be created for the column to appear in the Gradebook. When creating the assignment, you can designate the assignment as On Paper or No Submission.