Project Online Project's Roadmaps
So from https://project.microsoft.com/en-US/ you can create a new or add a project to an existing Road map.
So after you select to create a Road map you need to add rows [at least one] which in turn will be a project you select.
Give the Road map a name.
Enter the Owners name and give the row a title.
Now add the name for the row and click Ok.
So after you connect to your PWA instance start typing the project's name until it appears in the search box.
Click connect and the Road map/Row is created.