When you have UEM for mobile application enabled, application will be auto detected. If you mean just requests without user perspective, you can try to define application based on endpoints / domain. If your requests are they same for desktop and mobile devices, than you should create one application.
Than you can create business transaction that will catch all requests and split them by user agent. In such case you will be able to use filter for example only for mobile devices after some plating with regex. Same for desktop browser. Than you can go to Applications Monitoring dashboard and there add those business transactions to be baselined. They will appear in your application that covers Mobiles and Desktop requests as well.