Hi
Yes, you can create user stories refer the below link for the documentation
https://docs.mendix.com/developerportal/collaborate/stories
We can manage user stories in Studio Pro, Please follow this link
https://docs.mendix.com/developerportal/collaborate/stories#5-managing-stories-in-mendix-studio-pro
Studio Pro has no option to create a userstory. Creating userstories is done via sprint by following the documentation that Stella mentioned. Creating stories can also be done by accepting the feedback created by the user.
In Studio Pro: