Key caps have lower tolerances than the rest of the board, and the slot for the stems is a very small (the whole cross is 4.1mm wide with the "arms" of it being 1.17mm [1]) negative space, which 3d printing isn't great at. It's certainly possible and I know Zach Freedman [2] did this using his publicly available/free mx keycap model [3], but honestly unless you're more committed to having a board totally made by you than having one that sounds/looks good (which is totally reasonable, making one just to be able to build one from scratch yourself is something I want to do too), I'd say buy some.
I see they do printed keycaps, is there any company that would allow having custom see-through forms in the keycaps that would support keyboard lights? E.g., in addition to QW letters that glow in the dark you could add your custom symbols that would also help you learn all the custom keybinds you've made
WASD Keyboards [1] (also in California, BTW) offers custom-printed whole sets and individual keys in OEM profile Cherry keycaps.
XVX [2] offers sets of four in Cherry profile
.. and I'm sure there are more options out there.
Then there's the whole "artisan" community, which sculpt and cast individual keycaps in various designs and shapes, more for looks and collecting than for typing on. I've seen group buys of tooling for making these.
1: https://www.cherrymx.de/en/dev.html 2: https://youtu.be/yYcNi9hKxDk?t=688 3: https://thangs.com/designer/ZackFreedman/3d-model/KeyV2%20G2...