I can understand the request for an event specifically for this... but... The characters aren't created by a script.
You build an item, and place it, so any on_player_built_entity event could be a character. (standard respawn rules still apply too)
Could you just check that event and look to see if entity.type == "character"? the name may not be "character" though, as currently there are 4 classes.
Alternatively, if you just want to snapshot a list (EG, when your mod is added to an existing game that has mine in it), I add all of a player's characters to associated character's list.
https://lua-api.factorio.com/0.18.13/LuaPlayer.html#LuaPlayer.get_associated_characters
https://lua-api.factorio.com/0.18.13/LuaEntity.html#LuaEntity.associated_player
If this is not sufficient, let me know.