Unfortunately you can't do that.
The rotation is a property of the item frame (of which the map is an exception, because it only has 4 rotations, not 8), not of the map.
North on a map is always up. Maybe it helps a bit to hold the map while facing away from your map wall, press F5 (or whatever your third person view button is) and then look down. That way you can see the map in your hands and the one on your wall in the same rotation, but distorted/small.
If that's not good enough, you have to go the tedious way: Create it north-up in a different place first, then move it to the destination one by one.
Rotating maps in your hand would be a good feature. You can suggest it in the Minecraft forum, on Reddit or on Twitter.