Python comes with the possibility to execute commands given as strings if passed as argument to the exec()
function. The following code does though what you asked for:
from turtle import Turtle
n = 5
for i in range(n):
exec('turtle' + str(i) + ' = Turtle()')
print(turtle4) # gives <turtle.Turtle object at 0x............>
but it would be much better if you don't use it this way in your code and use a list for this purpose.
from turtle import Turtle
n = 5
turtle_list = []
for i in range(n):
turtle_list.append(Turtle())
print(turtle_list[4]) # gives <turtle.Turtle object at 0x............>
Check out generating variable names on fly in python for more on this subject.