Is it possible to create custom variables?

For example, I would like a variable that holds few int values. Similar to Vector3 that holds X, Y and Z positions

Is it possible?

If I’m not mistaken you plan to create classes or structs?
I would prefer classes like this:

public class Something
{
     int first;
     int second;

}

Of course you can do that. Just use the class like I wrote, make it public if you want other classes to be able to access it and define your variables. If you want to use Unity’s built in functions (like GameObject.Find, etc) you need to derive it from MonoBehaviour.
so

public class Something : MonoBehaviour
{
      int first;
      int second;
}