How can we create workflow through apex in Salesforce?

You can not create approval process or workflow with Apex system classes.

These are configurable business logics which can not be created generally in Apex.

But there is one way of creating these components is Metadata API. In metadata API you can create Approval process, workflows, workflow rules, Assignment rules and other admin and development logics.

In apex, a record can be submit for approval, a record can be rejected and approved. You can only access already created Approval process on object and perform submit, approve and reject operations on record. Workflow rules can not be accessed in this way.