I believe that currently Plesk does not automatically create the httpsdocs directory for subdomains. So you would have to do that manually, then upload the site files.
Then, since Plesk also does not put the appropriate entries into the domain's httpd.include file to handle the 443 request, you'll have to do that manually as well. And manually create the subdomain's /conf/ directory, etc.
As an alternative, you could purchase the 4PSA Total Domains add-on package which does a better job of handling subdomains than the Plesk CP itself.