The creation of a Lightning tab can be achieved by searching for Tabs in the Setup menu. The navigation path for the creation of a tab is Setup | User Interface | Tabs.
The following screenshot shows the tab creation screen:
Screenshot shows Custom Tab Creation Screen In Setup Menu
The creation of Custom Object Tabs, Web Tabs, and Visualforce Tabs is very similar to in Salesforce Classic, and they appear as navigation based on the profile and application assigned.