How can I draw a spline drawn by the player's movements?

Procedural Mesh has been a thing in UE4 years before Epic even thought about Lyra.

Yes, you can build any shape with it, with maps and collision. It just needs investing time. It’s definitely a more advanced topic.

What you’re trying to do is not out-of-the-box.

Once you know how to build a quad, you can build them along a spline, then extend to the sides to build a ribbon that follows the curvature.