It is possible to create a batch file that does this for you.
The batchfile would contain the following:
echo. >> "%USERPROFILE%\Desktop\New text file.txt"
When you doubleclick the file, it will create a new textfile. If you click it again while one already exists by that name, it will do nothing.
If you then create a shortcut to this batch file, you can assign a shortcut key to it.
Optionally, you can do the following:
set /p newfile=Please enter the name of the new textfile:
echo. >> "%USERPROFILE%\Desktop\%newfile%.txt"
This will ask for the name of the file before creating it.