To expand upon Christian’s answer, the only reliable way to do this would be to combine mkdir and cp:
mkdir -p /foo/bar && cp myfile "$_"
As an aside, when you only need to create a single directory in an existing hierarchy, rsync can do it in one operation. I’m quite a fan of rsync as a much more versatile cp replacement, in fact:
rsync -a myfile /foo/bar/ # works if /foo exists but /foo/bar doesn't. bar is created.