When creating a new file geodatabase in the root of the C: drive, the file geodatabase is saved in a temporary folder within the AppData file path instead.
This problem exists in ArcGIS Pro 3.0 and earlier, but not in ArcGIS Pro 3.1. This issue was a problem in the Create File Geodatabase geoprocessing tool and the overall geoprocessing framework for writing output to the root of a disk.