Despite both references (including MSDN) stating that the Database class can be used to create a master key, it doesn't appear to be an outright ability of the Database class. Note that the property Database.MasterKey is read-only.
To create a master key, initialize an instance of the MasterKey class using the constructor that includes a reference to a Database object. Then use one of the methods of MasterKey to actually create the key (Create, Import, Regenerate). Thus, the MasterKey class is required to create a database master key.