If this was done already then discard.
... always 10 feet shy of the finish line.
Sharepoint 2010 workflows seem to be the only way to create a Document Set automatically (SharePoint 2013 workflows CANNOT create Document Sets - they pretend to, but actually create broken folders with an incorrect Content Type).
Given that Flow also cannot initiate SharePoint workflows (wth not, given there's clearly things that SharePoint workflows can do that Flow can't?) there is, I think, a dirty hack that can fill the gap.
Seems to be a pretty yucky but no reason to think it shouldn't do the trick.
With Documents sets being rolled out in Modern this is coming more urgent.
Other ways I have seen this done is with use of the HTTP connector which is now payable.
Microsoft, Please modernize faster. Basic functionality like document set content types have been in the SharePoint product for many years... I don't understand why Flow cannot create Doc Set content types in SharePoint Online. This is needed...really.