Running the FastCGI executable (production mode) on the command line, I get
$ ./graphmind.fcgi
graphmind.fcgi: user error (FCGX_Accept_r failed with error code: -88)
That means nothing to me, but perhaps it does to others.
Building with simple-server and running it, it works fine and creates the DBs no problem. I'm using the Sqlite3 back-end and it seems to be working fine when I use simple-server.
The "error code -88" is the correct response, it means you're running a FastCGI application outside of a FastCGI context. My guess is that it's a misconfiguration in Apache. Can you try putting in a non-Yesod/non-Haskell FastCGI application and see if it works?