You can create and manage datasources from withing cfml
pages, but (there is always a BUT isn't there) you need to use the
coldfusion administrator api in order to do it. If you are on a
hosting environment I can pretty much bet that you won't have
access to it (you need to have the admin password).
If you do have then you can explore the adminapi by going to
http://<webroot>/cfide/adminapi/datasource.cfc,
then enter in the admin password or rds password this will allow
you to browse the available functions. Depending on the type of
database connection that you want to manage or create there is a
SET function e.g. setMSSQL or setMySQL.
The instructions are pretty good so you should be able to
figure out what you have to pass to the function.