Yes, most likely she made it herself per tradition...
While it is not shown on screen, it's often known by non casual Star Wars fans, that usually force users, such as the Jedi and the Sith, construct their own lightsabers. Traditionally the Jedi have used "Jedi Initiation trials".
The second was not consistent throughout the Order's history.
Originally, the test consisted of lightsaber construction using
crystals provided by the master. As the Order came into a new era
following the Ruusan Reformation, the trial was altered to test
self-discipline. Demonstrating competency through meditation or staged
lightsaber combat with a hood, this test was not so much a
demonstration in skill so much as technique...
In addition, we have seen Luke Skywalker come to do this, as he has a new lightsaber in Return of the Jedi.
Darth Vader: I see you have constructed a new lightsaber. Your skills
are complete. Indeed you are powerful, as the Emperor has foreseen.
NOTE: Star Wars' new theme park, Galaxy's Edge, allows visitors to construct their own lightsabers to be able to feel like one is a part of this known process...
It's about tradition and one's own identity within the Force, as kyber crystals can speak to a light-sided force users. (The dark side usually corrupts the crystal with a "bleeding" process. Darth Vader was tasked to steal the lightsaber of a Jedi who survived Order 66 and bleed its crystal to make it his own!)
Wookiepedia (Star Wars: The Rise of Skywalker Visual Dictionary):
Rey returned to Ajan Kloss to celebrate the victory with the
Resistance and her friends, Dameron and Finn. Afterwards, she traveled
to the Lars moisture farm on Tatooine, where she buried Leia's
lightsaber and the Skywalker lightsaber, using her own newly-crafted
one in their place. When a local asked for her name, she forwent
Palpatine's lineage, going by the name "Rey Skywalker" with the
blessing of Force-ghosts of Luke and Leia.
So most likely, Rey, now being reborn a Skywalker, has constructed her own, and is allowing some of the past to be laid to rest, as she now comes into her own. It's a symbolic gesture to show the audience who she is and in some ways, plays back into the Force dyad she shared with Kylo Ren, as yellow is quite "light" and her hilt is pretty "dark." She's been made "whole" and is beginning her bigger journey.
What does her new color mean, you might also ask?
The Rise of Skywalker Opening Crawl:
The dead speak! The galaxy has heard a mysterious broadcast, a threat
of REVENGE in the sinister voice of the late EMPEROR PALPATINE.
GENERAL LEIA ORGANA dispatches secret agents to gather intelligence,
while REY, the last hope of the Jedi, trains for battle against the
diabolical FIRST ORDER.
Meanwhile, Supreme Leader KYLO REN rages in search of the phantom
Emperor, determined to destroy any threat to his power.
It's unclear, but it may lean into a spin-off in which Rey (and Finn) will now continue with a New Jedi Order, as this color saber has been associated with a few characters from the previous expanded universe ("Legends") characters who were apart of Luke's The New Jedi Order, such as the ongoing adventures of Kyle Katurn, in which he eventually ends up with a yellow Lightsaber.
However, there are also Jedi Temple Guards an ancient heritage who wielded double-bladed yellow lightsabers, traditionally wore masks, and were Sentinal Jedi Knights dedicated to a higher purpose of the Jedi Order. (A purpose or system of operations that never has been fully revealed, but they did exist during the Prequel era too). This could suggest a much bigger story pertaining to an (Jedi/Sith) origin story or a "bigger" mandate outside of what the Skywalker Saga era showed us.