I created my own major in Ethnomusicology (a graduate discipline that basically studies the connections between music and culture), it's been an extremely valuable experience as I've been able to take courses which I otherwise would not have been to doing my previous double major in biochemistry and music. Right now, I'm finishing up my thesis and it's been awesome having advisors in different departments (music, anthropology, and sociology) and fusing different disciplines to examine a specific topic (in my case music, cultural preservation, and health promotion). If you have the time/room to create your own, seriously consider it. PM more if you have any qeustions.