I"m trying to Create a sample data directory, using Android Studio, by clicking on app in the project view and then right mouse click to find the menu item New > Sample Data Directory.
It is not working.
Creating the directory via android studio doesn't always work. You may need to create the directory manually in your directory structure (at /app/sampledata/) without using Android Studio. Once you create it (e.g., via Windows Explorer) it should show up in Android Studio. See the the following answer for more information about sample data in general: How to put new placeholder resources into Android Studio project ("tools:sample" resources)?
"Unlike resources like images, fonts, etc. The sample data does not go in /res/ (they are not compiled with the app, hence. It is probably easier to filter them out by putting them in a totally separate directory). They go in /app/sampledata/, for example: /app/sampledata/image.png."