Lookup tables is used in Enterprise Custom Fields. We can create Lookup tables programmatically either from CSOM or PSI. Here below is the example of creating Lookup tables using CSOM.

Microsoft.ProjectServer.Client.LookupTableCreationInformation lookupTableInfo = new Microsoft.ProjectServer.Client.LookupTableCreationInformation();
try
{
	lookupTableInfo.Id = new Guid();
	lookupTableInfo.Name = "Applications";
	lookupTableInfo.SortOrder = Microsoft.ProjectServer.Client.LookupTableSortOrder.UserDefined;

	#region Creating Lookup Mask
	List<Microsoft.ProjectServer.Client.LookupMask> lstMask = new List<Microsoft.ProjectServer.Client.LookupMask>();

	Microsoft.ProjectServer.Client.LookupMask maskInfo = new Microsoft.ProjectServer.Client.LookupMask();
	maskInfo.Length =0;
	maskInfo.Separator = ".";
	maskInfo.MaskType = Microsoft.ProjectServer.Client.LookupTableMaskSequence.CHARACTERS;
	lstMask.Add(maskInfo);// you can create more than one mask 

	lookupTableInfo.Masks = lstMask;
	#endregion

	char separator = lstMask[0].Separator.ToCharArray()[0];
		
	#region Creating LookupTable Entry

	Dictionary<string, Guid> AvailableLookupEntry = new Dictionary<string, Guid>();
	List<Microsoft.ProjectServer.Client.LookupEntryCreationInformation> lstEntry = new List<Microsoft.ProjectServer.Client.LookupEntryCreationInformation>();

	string[] multiLevel = "Your Full Value".Split(separator);
	int length = multiLevel.Length;
	
	AvailableLookupEntry.Add( "Your Full Value", new Guid());

	string fullValue = multiLevel[length - 1];

	StringBuilder sb = new StringBuilder();
	if (length > 1)
	{
		for (int i = 0; i < (length - 1); i++)
		{
			sb.AppendFormat("{0}{1}", multiLevel[i], separator);
		}
		sb.Length--;
	}

	Microsoft.ProjectServer.Client.LookupEntryCreationInformation lookupEntryInfo = new Microsoft.ProjectServer.Client.LookupEntryCreationInformation();
	lookupEntryInfo.Id = new Guid();
	lookupEntryInfo.Description = "Lookup Entry Description";
	lookupEntryInfo.SortIndex = Convert.ToDecimal("1.0000000000");

	if (AvailableLookupEntry.ContainsKey(sb.ToString()))
		lookupEntryInfo.ParentId = AvailableLookupEntry[sb.ToString()];

	lookupEntryInfo.Value = new Microsoft.ProjectServer.Client.LookupEntryValue();
	lookupEntryInfo.Value.TextValue = fullValue;

	lstEntry.Add(lookupEntryInfo);

	lookupTableInfo.Entries = lstEntry;
	#endregion

	Microsoft.ProjectServer.Client.LookupTable newLookupTable = projectContext.LookupTables.Add(lookupTableInfo);
	projectContext.LookupTables.Update();
	projectContext.ExecuteQuery();
}

catch (Exception ex)
{
	//log exception
}

Hope this code will help you. Thanks