UEFI PXE is a pain. On most computers it seems completely broken or only seems to work with a Windows installation. I've never been able to get it to work with Linux either.
Your workaround, unless the Linux installer has a special option for this, won't work.
Normally the installer sets up a same type of system as the installation media is booted in. So that would be Legacy in your case.
You may manually create the EFI partition, but there is no way the installer can guess you wanted to install the EFI boot files.
As this is a rare corner-case most Linux distros don't include this in the installation procedure. (I don't know of any Linux distro that has support for this.)
In theory you could manually partition the EFI partition AND copy the EFI bootfiles to it. That should work. As far as I know the rest of Linux (with a full-featured kernel, a stripped down kernel may be more limited) should be able to run under both EFI and Legacy.
But by far the easiest way is just to create a USB install media en install from that directly in UEFI mode.