There are two basic approaches.
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Choose and buy the appropriate connectors, along with pre-made bulk USB or COAX cable, and optional sleeving (since bulk-cable will already be sheathed), and solder them up appropriately.
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Choose and buy the appropriate connectors, and build your cable up from raw components yourself.
The first method is, of course, much easier and in the case of COAX cables doesn’t necessarily required soldering (though the best COAX connectors are generally not available as crimp-termination).
The second is rather involved and requires that you know what you’re doing, understanding the cable specs and have enough knowledge and skill to implement them properly.
For a ground up coax cable, you have to have, at a minimum, an inner conductor, an insulator, and an outer braided/matrix shield/conductor, and a sheath of some kind. And you want to maintain a characteristic impedance for the whole assembly of 75 ohms (to avoid internal signal reflections). Of course, if you’re going to that much trouble, you’ll probably want to use special materials, multiple shield and dielectric layers outside the second conductor, and use proper spacers and binders to maintain consistent spacing between inner and outer conductors so that bending/compressing the cable doesn’t shift the impedance etc.
For USB, you need to decide what version of the spec you want to implement. For USB 2.0/UAC2 you’ll need a pair of conductors of appropriate gauge to limit resistance over the length you want to achieve for the power lines. Then you’ll need a precisely wound twisted pair for the signal lines, properly shielded, spaced and toleranced, achieving a characteristic impedance of 90 ohms (+/- 15%) and with no more than 100 picosecond differential across the wave-front propagation between the two conductors.
And if you want that USB cable to not change impedance etc. every time it bends or is pressed, you’ll also need to apply proper spacers, binders, fillers etc. to maintain the internal geometry.
Once you have that down, you can do fun things like build cables with NO power connections between host and device, or break those power connections out to be supplied from an external, ultra-low-noise, power source. Though you can also do that with pre-built bulk-cable.