It doesn’t say directly, but my interpretation (application of other rules) would be no, you cannot build militia in a territory you just conquered.
I.e. you can’t place a factory and build units with said factory in the same turn. So that would lead me to think you can capture a territory and build militia the same turn. Because militia are recruited from the population you didn’t control at the start of the turn.
Also if you can’t land a plane in a freshly captured territory, how can you recruit militia?