It may not be intended, but you can do exactly what you want.
Run the game twice. start character creation in multiplayer (set it to LAN only) and join with the second open game. Now you have everything what you want. Im not sure if you still get the multiplayer "benefits" when you continue with only one game running, but with 2 games open its just like the multiplayer (except its just 1 person playing) Its quite tedious (you have to move with 2 characters that cant be linked together) but possible.
Once splitscreen is in the game its even easier to do and not as tedious, you'll most likely need two controllers though.
This should be doable even in game master mode.
