How to create a new database using python and sqlite3
Solution 1:
The code you give does create 'D:\\aaa.db'
if it doesn't exist.
Solution 2:
If it isn't created automatically, make sure that you have the directory permissions correct
Solution 3:
As it was already mentioned, your code should work if you have permissions to write for this path. However, it is important that directory must exist. If you make call for non-existing folder:
conn = sqlite3.connect(r"D:\Some new non-existing folder\aaa.db")
It will not work, you will have
sqlite3.OperationalError: unable to open database file.
The same is for relative paths:
1) conn = sqlite3.connect(r"aaa.db")
2) conn = sqlite3.connect(r"Some new folder\aaa.db")
First will always work, because you are working in already existing directory and second will not work if you do not create te folder beforehand.