Use mkdir with -- to create a directory with a hyphen in the name. This disables further option parsing.
mkdir -- -my-dirPut additional options always before --
mkdir -p -- -my-dir/fooThis is a convention that is part of the POSIX standard. The argument -- is a delimiter indicating the end of options. Any following arguments should be treated as operands, even if they begin with the '-' character.
Alternatively, use the current directory prefix
mkdir ./-my-dirThis also applies to other commands such as cd:
cd -- -my-diror rm
rm -r -- -my-dir