Since this will require a scheduled service of some kind there is one option if you would like to use Umbraco only which is to use Umbraco Scheduled Tasks
Read more at http://our.umbraco.org/wiki/install-and-setup/scheduled-tasks, there is also the http://our.umbraco.org/projects/developer-tools/taskscheduler that brings a bit more power to scheduled tasks in Umbraco.
Depending on your Umbraco-version (which you didn't state) the page (blog) creation can vary, here is however a pretty nice sample http://en.wikibooks.org/wiki/Umbraco/Samples_and_Articles/Creating_umbraco_pages_programmatically
So the process would be
- Create an aspx page will the required logic to work with your RSS-feeds
- When a new post in a RSS-feed is detected invoke the code that creates a new page/blog