So long as you are on a PvE or RP server you can most certainly create a Horde if your Level 55 is an Alli.
Edit
Didn't see the last bit of your question, you can only create a Death Knight on the same server as your level 55+.
Also there was a Faq posted about creating Death Knights and is still on the front page
http://wow.allakhazam.com/db/class.html?wclass=10;mid=1223307627186808135;num=17;page=1 you may like to check that out.
Edited, Nov 16th 2008 5:06am by Mermic