Your menu should run a microflow rather than opening the form directly. In the microflow first create a new entry (do not commit it) and then perform a Show form action where you pass the newly created record to the form.
What menu exactly are you referring to?
You can explicitly create a new entity and pass it to a form, as David has suggested.
Or, if you are creating the entity from a data grid, the default 'New' button will create the entity for you and pass that newly created object to a form. At that point, the Save/Cancel buttons on the form's control bar dictate whether the object is actually committed to the database.
Also thought I'd throw out there that there is an inline object creator widget as well.