The verse is mysterious : some call it 'obscure'. But some have seen an undeniable expression of the coming New testament in the few words of this remarkable statement.
The 'new thing' is the new creation. And the beginning of that new creation is the birth of Jesus Christ, supernaturally - a woman shall compass a man.
These things saith the Amen, the faithful and true witness, the beginning of the creation of God; [Revelation 3:14, KJV]
From Jamieson-Fausset Brown's Commentary on Jeremiah 31:22 : Biblehub
The Christian fathers (Augustine, &c.) almost unanimously interpreted it of the Virgin Mary compassing Christ in her womb. This view is favored:—(1) By the connection; it gives a reason why the exiles should desire a return to their country, namely, because Christ was conceived there.
(2) The word "created" implies a divine power put forth in the creation of a body in the Virgin's womb by the Holy Ghost for the second Adam, such as was exerted in creating the first Adam (Lu 1:35; Heb 10:5).
(3) The phrase, "a new thing," something unprecedented; a man whose like had never existed before, at once God and man; a mother out of the ordinary course of nature, at once mother and virgin. An extraordinary mode of generation; one conceived by the Holy Ghost without man is specified, so it is likely the Holy Spirit designated the place of His being conceived.
(4) The specification "in the land" (not "earth," as English Version), namely, of Judah, where probably Christ was conceived, in Hebron (compare Lu 1:39, 42, 44, with Jos 21:11) or else in Nazareth, "in the territory" of Israel, to whom Jer 31:5, 6, 15, 18, 21 refer; His birth was at Beth-lehem (Mic 5:2; Mt 2:5, 6). As the place of His nativity, and of His being reared (Mt 2:23), and of His preaching (Hag 2:7; Mal 3:1), are
(5) The Hebrew for "woman" implies an individual, as the Virgin Mary, rather than a collection of persons.
(6) The restoration of Israel is grounded on God's covenant in Christ, to whom, therefore, allusion is naturally made as the foundation of Israel's hope (compare Isa 7:14). The Virgin Mary's conception of Messiah in the womb answers to the "Virgin of Israel" (therefore so called, Jer 31:21), that is, Israel and her sons at their final restoration, receiving Jesus as Messiah (Zec 12:10).
(7) The reference to the conception of the child Messiah accords with the mention of the massacre of "children" referred to in Jer 31:15 (compare Mt 2:17).
(8) The Hebrew for "man" is properly "mighty man," a term applied to God (De 10:17); and to Christ (Zec 13:7; compare Ps 45:3; Isa 9:6) [Calovius].