Do thoughts 'create' vedana?

According to Mahayana abhidharma, a main mind and the mental factors in its retinue share five similarities. Also, as Kyabje Yeshe Gyeltsen says:

Moreover, the two – a main mind and the mental factors in its retinue – are said to be one entity and concomitant by way of five types of similarities. Hence, it is incorrect to assert that minds and mental factors are not similar in time and that they are different entities, as well as to posit that their observed objects are separate.

Concretely, a mental consciousness remembering blue and the feeling associated with it:

1. Arise simultaneously
2. Have the same object [of engagement]
3. Take the same aspect [of blue]
4. Arise in dependence upon the mental sense power
5. And so forth.

Thus, it is not the case that 'thoughts create feelings' because thought is the object of both the main mind and the mental factors associated with that main mind, and because both of these [main and mental factors] arise simultaneously. The mind-object - thought - does not precede feelings, and thus it is not created by it.

Dhātu Vibhaṅga Sutta

On cognizing a mind-object with the mind,

one investigates the mind-object that the basis of mental joy,

one investigates the mind-object that is the basis of mental pain,

one investigates the mind-object that is the basis of equanimity.

Titth’ayatana Sutta

Cognizing a mental object with the mind, one examines the mental object as the basis for pleasure, or for pain, or for neither-pain-nor-pleasure

Saññā Nānatta Sutta

Dependent on the mind-object element, there arises the perception of mind-object;

dependent on the perception of mind-object, there arises the thought regarding mind-object;

dependent on the thought regarding mind-object, there arises the desire for mind-object;

dependent on the desire for mind-object, there arises the passion for mind-object;

dependent on the passion for mind-object, there arises the searching for mind-object.

Here searching is for the pleasure the intellectual stimulation brought.

Also all 121 minds according to Theravada Abhidhamma is associated with sensation as the mental factors of sensation is present in each of them.

When dealing with any sensation from any source (Contact with Faculties, 4 Frames of Mindfulness) you have to look at the arising and passing of sensations. Use painful sensation to eradicate aversion, pleasant sensation to eradicate craving and neutral to eradicate ignorance. How to sensation tied to thoughts are as follows:

Adopted from Pahāna Sutta (also found in the introductory commentary as is). This goes for thoughts as well.

(1) the latent tendency to lust reinforced by being attached to pleasant feelings;

(2) the latent tendency to aversion reinforced by rejecting painful feelings;

(3) the latent tendency to ignorance reinforced by ignoring neutral feelings

Avijja Pahana Sutta 2

Here, bhikshu, the monk has learned [heard] that nothing is worth clinging to. And a monk has learned that nothing is worth clinging to, thus: he directly knows all things. Having directly understood all things, he fully understands all things.

Having fully understood everything, he sees all signs differently:

He sees the mind differently; he sees mind-objects differently; he sees mind-consciousness differently; he sees mind-contact differently. Whatever that is pleasant, or painful, or neutral, that arises on account of mind-contact as condition, that, too, he sees differently.

Monk, when a monk knows and sees thus, ignorance is abandoned by him and true knowledge (vijja) arises.

Yes, (as per Yogacara Abhidharma) vedana is also created by thoughts. The thoughts, just like sense-objects, stimulate samskaras (imprints) in the memory, and that generates vedana (feelings).

For the purposes of your question, we can say that the main part of emotions - their somatic component (what you feel in your chest etc.) - are vedana.