As MrSpock says, you have to use a program that will write some data into the PDS, for example -
//INITPDS EXEC PGM=IEBGENER
//SYSPRINT DD SYSOUT=*
//SYSIN DD DUMMY
//SYSUT2 DD DSN=newpds(member),...
//SYSUT1 DD *
Data for a new PDS member
JCL like this will allocate the PDS, but it won't write anything to it.
//ALLOCPDS EXEC PGM=IEFBR14
//NEWPDS DD DISP=(NEW,CATLG),DSN=pdsname(member),...
MrSpock gave a list of "standard" programs you can use, though there are many more programs, including programs that you write or have already written.