Andrew,
It can be done but it's not integrated into the console controls yet (which are primitive - remember this is an unsupported contribution).
I believe the answer lies in ezmlm-make where you can setup a list from the command line. Read the man file and review the ezmlm FAQ and don't forget to set yourself as as the ezmlm user before creating the list
sudo -u ezmlm -s
you should set a separate subdirectory for lists in your virtual domain.
eg:
/home/e-smith/ezmlm/virtualdomain/listname
Please post here again if you have success.