Are there any rules in one of the palladium books that would cover informations to create a PC dragon?
Rifts has enabled players to take the role of dragon hatchlings since the game's inception, and that game, given the vast amount of material available, remains Palladium's flagship dragon product. Different dragons appear in the game's standard edition and updated Ultimate Edition.
Rules for dragon dragons specific to the Palladium Role-playing Game are available in Dragons and Gods. As evidenced by the title, such dragons are typically inappropriate for player-characters, but it's Palladium. Talk to the GM.
At least one dragon (ported over from Rifts) exists in the Heroes Unlimited setting but that dragon's specifically a behind-the-scenes big bad. A generous GM may nonetheless allow such as a PC.