No, you cannot create a MyPlayer in NBA 2K11 on the PlayStation 2. The MyPlayer feature—which became a staple of the series—was not included in the PS2 version of NBA 2K11.
The MyPlayer mode debuted in NBA 2K10 on PlayStation 3 and Xbox 360. If you want the create-a-player career experience, you'll need NBA 2K10 or later on a seventh-generation console (PS3, Xbox 360) or newer.