The Photos section and this feature is only available on OneDrive - Personal.
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In OneDrive-Personal online, select Photos > Albums > Create a new album.
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Type a name for the album.
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Select the images you want to add to your album from the gallery below. To choose multiple images, drag your mouse across all the images you want.
You can also select My files and navigate to a folder with pictures to select and add. -
Select Add album.
For more info on organizing, see Organize and find photos in OneDrive.
Tip: Right-click an image file or while viewing a photo in any OneDrive folder and select Add to album. Choose an album, or create a new one in the Add to album pane.