You can create custom territories in an ad hoc way by selecting and grouping marks on a map. Simply select one or more marks, hover over one, and then use the Group icon. Alternately, right-click one of the marks to find the option. You can create custom territories by grouping by any dimension if you have latitude and longitude in the data or any geographic dimension if you are using Tableau's generated latitude and longitude. Here, we'll consider an example using Zip Code:

You'll notice that Tableau creates a new field, Zip Code (group), in this example. The new field has a paperclip and globe icon in the data pane, indicating it is a group and a geographic field. Tableau automatically includes the group field on color.

You may continue to select and group marks until you have all the custom territories you'd like. With Zip Code still part of the view level of detail, you will have a mark for each Zip Code (and any measure will be sliced by Zip Code). However, when you remove Zip Code from the view, leaving only the Zip Code (group) field, Tableau will draw the marks based on the new group:

Here, the group field has been renamed Custom Territories and the group names have been aliased as East, West, and Central.