You can set up a custom BLAST database using sequences you already have in your Geneious database, or from a FASTA file of sequences you have downloaded from elsewhere.
First, you need to setup the Blast+ Service locally on your machine. To do this, go to: Tools > Add/Remove Databases > Setup BLAST Services.
In the pop-up window, ensure the service: "Custom BLAST" is selected in the dropdown and specify a suitable location to install the Blast+ program (this will also become the location for your custom databases). Keep the box checked to "Let Geneious do the setup", and click OK.
This will download and install the Blast+ program. Once complete, you can then add custom databases. You may want to first create a folder in Geneious with only the sequences you want to create a database from. Select all documents in the folder and go to Tools > Add/Remove Databases > Add BLAST database. Select Custom Blast in the service dropdown, give an appropriate name to the database, set contents to the selected sequences, choose the database type, and click OK (Alternatively, you can create a database from a file on your hard drive).
This will create a custom database from those sequences, which will then be available for blast searches under Custom BLAST.
Note, if you wish to create pre-formatted BLAST databases from fasta files outside of Geneious, you can also run the BLAST+ executables from the command line using the makeblastdb command. Then put the formatted BLAST database files which are created (there will be multiple files per database) in the BLAST/data folder that was created in your Geneious Data folder when you set up custom BLAST, restart Geneious and the new database will show up when you run custom BLAST. However, if the database is formatted manually using makeblastdb, there will be no annotations on the resulting alignments. If it is formatted from within Geneious, then an extra file is created with the annotations so Geneious can put them back onto the alignments after a search.