There have been a few instances where I've wanted to launch a quick create a record directly from a sub-grid add-button. That is, without having an extra step of bringing down the lookup view and then clicking the + New button.
While the required steps are covered between these two great posts - here and here, I have summarized the checklist here for convenience.
In order to get the CRM sub-grid to show the quick create dialog, ensure that:
The Allow quick create is enabled for the child entity.
A quick create form exists for the entity. If not, create a new one.
Ensure that the related foreign key field is Business Required.