How to register a free “theblog.wordpress.com” blog

You mention:

...I want to create a new, separate blog, called foo-health.wordpress.com

...I was redirected to a "Let's get your site a domain!" page. I want to skip this step, but it doesn't seem to be possible. Is it?

No it is not.

First of all you should be aware that your site/domain foo-health.wordpress.com is a subdomain. The same is true for all sites under wordpress.com which is a multisite.

You want to register a new site. This new site needs a name.
You want this new site to be called foo-health.wordpress.com.
You want this new site to have the domain name foo-health.wordpress.com.
You want the domain of this new site to be foo-health.wordpress.com.
So, wordpress.com says: "Let's get your site a domain!"

This happens because although you already own the domain/subdomain foo.wordpress.com, someone else may have already registered the subdomain foo-health.wordpress.com in which case will not be available.

Also, you should understand that your domain/site-name foo-health.wordpress.com is a subdomain of wordpress.com while health.foo.wordpress.com would be a subdomain of your foo.wordpress.com and at the same time a sub-subdomain of wordpress.com.
Unfortunately you are not allowed to create sub-subdomains in wordpress.com

In any case, just click next. It will all be clarified and if the name is available you will be the proud owner of foo-health.wordpress.com.

(I hope my answer untangled this naming thread for you)