As of what is currently canonical, that isn’t in his power set, and it doesn’t precisely make sense as a possibility either.

If it’s not shown in the comics we presume he can’t.

Captain Marvel can create lightning because he has the power of Zeus. Captain Marvel is magically empowered, not a sorcerer. You could argue that any powers that Zeus displays in the same continuity could potentially be utilised by Captain Marvel.

Shazam in prime earth continuity had started learning magic and even performed a spell which allowed him to fire a magic energy beam so I guess he can? But those powers have not been utilised ever since death metal so we don't know if he can still use magic or not after the reboot. He does have the potential, at least, that's confirmed.

I'm personally not a big fan of the idea that Captain Marvel can use conventional magic like Dr fate. I think he should have the potential to use magic since he will one day be succeeding the wizard as the full time gaurdian of rock of eternity but that should happen in the far, far future.

@Thegreatness05 that picture you'd show me was Shazam casting a fire or a flame spell at Superboy Prime, but it's close enough.

That's the only time that he has performed magic, as far as I know.

If I have the power of shazam, I would perform magic more than just use lightning.