Creating a Data Asset Instance in Blueprint
This is just a quick blog, as I saw some people struggling with this and having to use external plugins to do this, and hope Google will direct people to this, post, eventually!
Creating a Data Asset is possible now, in 5.3. I think this will work with 5.0 upwards, as it relies on the Geometry Script implementation to create a unique asset name and path. You need to enable viewing C++ classes in the content browser to select the data asset class if it's a native class. Also, you do not need a factory, which is just as well as creating a UDataAssetFactory seems to be prolematic in both C++ and Blueprint.
You will want to open the image in a new tab to see it in all it's glory!
Note that I have since updated this with a slightly better method that does not require the Geometry Script Library. More here.