Create new empty userdata from pure Lua

I think I saw somewhere a native function in Lua that can return a new userdata. Does it exist? Is it possible to create custom userdata from normal Lua script?

You may be thinking of newproxy

From: http://lua-users.org/wiki/HiddenFeatures

newproxy is an unsupported and undocumented function in the Lua base library. From Lua code, the setmetatable function may only be used on objects of table type. The newproxy function circumvents that limitation by creating a zero-size userdata and setting either a new, empty metatable on it or using the metatable of another newproxy instance. We are then free to modify the metatable from Lua. This is the only way to create a proxy object from Lua which honors certain metamethods, such as __len.

It was also useful for __gc metamethods, as a hack to get a callback when the newproxy instance becomes free.

This feature was present in Lua 5.1, but removed in 5.2. In Lua 5.2, __gc metamethods can be set on zero sized tables, so the main impetus for newproxy went away.