Docker gives you the option to create the volume yourself or allow Docker to create it for you. Either one of these will work:
docker run --name mysql_test -v /etc/mysql/conf.d -e MYSQL_ROOT_PASSWORD=my-secret-pw -d jw_mysql:latest
OR
docker run --name mysql_test -v /my/custom:/etc/mysql/conf.d -e MYSQL_ROOT_PASSWORD=my-secret-pw -d jw_mysql:latest
For IBM Containers, the situation is different: you need to create a volume before you can use it. So only this will work:
cf ic volume create dbstorage
cf ic run -p 3306 --name cf_mysql_test -v dbstorage:/etc/mysql/config/conf.d -e MYSQL_ROOT_PASSWORD=my-secret-pw -d registry.ng.bluemix.net/jw_image_reg/jw_mysql:latest
(Assuming you want to use port 3306.)