I am using Project Server 2016. I have configured my PWA Connected SharePoint Sites setting to "Allow users to choose" to provision a connected SharePoint site when publishing a project.
When I go through the steps of saving a local .mpp file to the server, and then publishing the project, in the MS Project client, I get a dialog asking if I want to create a site.
I choose the option to yes, create a site, and I specify the URL.
After publishing is complete, no SharePoint site was created.