There isn't a relationship option that will do this. The Allow Creation.... option you've selected here allows for the automatic creation of a related record if you have a portal to the related table and enter data into the bottom blank row of the portal.
In similar manner, if you place a field from Claims on an audit report layout and no related record in claims exists yet, you could click in the field and when you start to enter data, the related record in claims will be created.
Either way it takes a data entry event to create the new related record. The main benefit, is that the matching value is entered for you into the Audit Number field when the related record is created.
BTW, enabling delete on both sides of a relationship is often very dangerous. The most common type of relationship in a database is one to many. If you enable deletion for both sides like this in that type of a relationship, deleting one child record (Many side of the relationship) deletes teh parent record, then another delete kicks in and deletes all the other child records. So unless you want deletion of all records in both tables for a given audit number, you wouldn't want to set up your relationship this way.