There is no MQTT support for the features you described. There is however a REST API for IoT Central with which you can create a new Device Template. You could use that to create a new template, using an API token you create in IoT Central. There is also a way to create a device using the REST API. So in theory, your device could:
- Create a new template
- Create a new device
- Get the credentials for that device
- Use the credentials to connect to IoT Central and send telemetry
This answer would be incomplete without the warning that by giving your device API credentials, you are giving it access to the entire API. So in theory, your scenario is possible. It also sounds like your case could benefit from IoT Plug and Play, but there is no built-in support for Central yet.