The CC121 definitely works on Cubase 15 and Windows 11. You must first install the latest version of TOOLS for CC121 (v1.7.7) from Steinberg’s downloads site. If you are running on Windows 11, you must also install the most recent version of Yamaha’s USB MIDI drivers (v3.1.5 or later- that’s what Mrhehon linked above.)
Once you have the USB MIDI working you might want to make sure your firmware is up to date. 1.50 is the most recent version. The update guide PDF included in the installer explains the steps for both checking the current version and updating to the latest.
It’s all covered in the thread on the CC121 hardware section of this forum.
There has recently been a windows change due to an update and many CC121 users have had to install the new Yamaha driver that I linked above. Just install it, it will work. Here is the thread from a few weeks back.