How to create RSA Private key for Request Signing in OpenSearch for saml?

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I'm trying to integrate a custom IdP for access to OpenSearch dashboard and in the process of creating request signing. For this, I need to create private key based on the algorithms mentioned in request-signing with or without a pass phrase. If I understand it correctly, for request signing I need private key in any of the algorithms mentioned in the link (eg: RSA_SHA256). But, so far I'm unable to figure out how to use openssl or any other CLI based tool to create private key based on the algorithms mentioned in the link above ? Any help on how to create private key is much appreciated.

Regards, Santosh

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