In a sense, yes. While mountains don't literally "make their own weather," they do sometimes provide additional catalysts to create localized disturbances which you might otherwise characterize as "weather" (thunderstorms, clouds, rain, etc).
In a broader global sense, weather events occur when masses of air with differing characteristics suddenly collide. When there is a sudden change in things like temperature, pressure, or humidity, it causes moisture to precipitate out of the air (rain) and/or sudden changes in patterns of airflow (wind).
In the typical (non mountain) case, these differing air masses meander around the globe in complex patterns that somewhatare at least somewhat predictable over shorter periods of time. Hot moist air is "far away over there" but will collide with cooler, dryer air over here within {x} days or so. It's somewhat predicable and reasonably consistent.
Contrast that to the typical meteorological circumstances of a mountainous terrain
You have (typically) a warmer, heavier, moister weather system hanging out down around the base of the mountain. Near by (typically just a few miles away), you have a looming mass of much lighter, cooler, dryer atmosphere sitting right next door. ItSo, essentially, it takes only a small shift ofin wind to make these two systems collidesuddenly (and unexpectedly) collide.
It's their close proximity and the unpredictability what moves them small distances that produces the unpredictability of "weather" you describe.