You should create a album before create a collection. You can find the documentation about creating a album from this link.
- Go to the ‘Collections > Add New Collection’.
- Enter a title.
- You can enter a description from the content field.
- Scroll to the ‘Page Settings’ field.
- Open the ‘Collection’ tab.
- Choose albums for showing in the collection from the ‘Collection Albums’ field.
- Choose a style from the ‘Collection Style’ field. If you will choose custom style, custom collection style settings will come after ‘Collection Style’ field. You can choose custom settings from that fields.
- Finally, click on the publish and the collection will publish.