Has any player come across a saga where magi have attempted to create their own regio?
Sure. Successfully? Not so much.
In canon? Neither, afaik.
Some have had some success with creating "illusionary worlds", with huge Rego or Muto Mentem spells. That has been in canon, but back a few editions (2nd?)
Is there a specific reason you ask?
I'm considering a Jerbiton magus who might discover area lacunae but consider a lifelong study of regio and experiments in creating them. And I wonder what it'd be like to get a covenant's help in making it happen.
I get the impression from most stuff that such regio may well be possible to create, but not so much from direct action as something that emerges over time from intense magical energies on the area, much in the same way as many magical auras are sustained around covenants.
I imagine with massive muto-vim ritual you might be able to 'make one' but that would surely be a lifetime acheivement; and by lifetime I dont mean 50 years, I mean the 200 year+ lifetime of an archmagus. I have never had a saga last anything like that long. Perhaps oneway of looking at it would be an effect similar to 'warping' an aura. With a powerful enough magical force, wierd shit starts to happen over time.
If you have a good persuasion skill IRL your sodales may support you. 
You can be successful only if your sg is permissive.
Lesser task would be in theory to move the entrance of an an existing regio permanently. There is a mystery to manipulate regios a bit and as I remember this option is not forbidden, simply it is not mentioned in the rules. 
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This is along the generations-long idea I was wondering. I'm reminded of Marion Zimmer Bradley's Avalon from her 'Mists of Avalon' book. And with the Normandy Tribunal book coming out a spin on this could be a methodology for magi and covenants to create spaces (i.e. lacunae [q.v. HOH-Societates -> Jerbiton] and regios) to elide in existence with mundanes and increasingly larger dominion auras and regios.
RoP:The Divine has some interesting discussion on this. Pages 15-16.
In particular: "Any effect of tenth magnitude or greater may create a temporary Divine regio, although there is no precise system for this, other than story necessity."
And there's a purity/intervention guideline, base 50, to create a level 1 regio.
So, taking some analogies from here... Massive Muto Vim ritual, probably with a mystery/minor breakthrough or two to help you... sure.
Most magi from our games would be very opposed to meddling with their own covenant's aura, however. Meddling with another nearby aura ... by all means, if that's your magical interest.
Hmmm Might not a Massive [b]Creo[/b] Vim ritual be more in keeping with any attempt to create a regio?
I was working on the asumptiuon that the creation of a magical aura was frankly too great an achievement, but the manipulation of an existing aura 'fencing itoff' into a regio was more plausible. In order to create a regio would surely be an enormous feat. Although possibly achieveable within the hermetic tradition, the life of any one magus would never be sufficient to accumulate the power to achieve it. Not to mention the massive amount of vis necessary.
Trapping some element of the aura into a regio seemed much less of a feat - to me anyway.
Creating Auras is possible with ...hermetic arcitecture? or one of the other mysteries in the mysteries revised It also deals with manipulating regio entrances.
One way to look at it is there are layers upon layers (regios) everywhere the only difference is if there is a door. So I'd focus less on making the regio as finding and forcing open a Very well hiden door.[/i]
To expound what Agnar said; Hermetic Architecture has a "New Aura Magic Guidelines" box for things that can only be used with the Mystery Hermetic Architecture.
Creo Vim Base 35: Increase the level of a Magical aura by +1 to a maximum of 1. (Add a magnitude to increase the aura +1 to a max of 2, etc., max being an aura of 9)
Muto Vim Base 4: Double or halve the size of a Magical regio (Te Req, Cr Req)
Rego Vim Base 15: Create a connection between two levels of a single Magical regio (Muto Req).
Glancing over this section, I can't find anything about creating a regio. But if a magus wishes to make it a life's work goal to create a regio, why not?
Remember, there is also the House Verditius artifact described, I believe, in True Lineages. This stone creates a portable magic aura, so it is possible in cannon. Unfortunately, he didn't think it was important enough to bring into Hermetic Theory.
"Unfortunately"? Oh, I don't know, I'm sure there are more than one SG out there who are just as happy about that omission...
So I can increase my aura by 1 to 1, which means I'm starting off at 0.
So is a magical aura of 0 normal countryside? Or is a slightly magical site?
A "mundane" area, I'd say.
Although it might be possible to create a magical aura anywhere, even in the middle of the divine aura. Such a weak aura will, however, be subsumed in the stronger aura.
Or will give rise to a Lacuna in which the aura is simply 0.
Hum... I'd make this a different virtue, I think.
Original research based on hermetic architecture could easily give way to something like this, IMHO, and would be a worthy goal for any magus. The ability to create lacunae in the middle of the dominion? At will??? OMFG!!! 