Custom servers are a frequent request from the community, and they've been on Rare's roadmap for a while now they're about to be implemented. An alpha is coming in the near future, starting with select creators and community groups. First, though, it will be available in the Insider programme, which anyone can sign up to for the chance to check out preview builds.
Details on what the servers will let you do are slim, but you'll be able to customise ship numbers, generate a code to give out to your community and you won't be able to gain gold or reputation. That last one is important custom servers aren't a way for players to turn Sea of Thieves into a PvE game. One of the reasons it's being given to community groups first is that it's designed to facilitate the tournaments and events they organise.