Why must I choose new location for Pages documents?

This morning, my iPhone 7 gave me a little surprise. I tried to open a document in Pages—as I've done many times before—but right away I got an error message. "Choose New Location for Pages Documents," I read. "The location Pages uses to save new documents to is no longer available. Choose a new location in Settings."

Huh?

On my MacBook Pro, in Finder, I can see that the document I was trying to open is indeed right where it's supposed to be (in iCloud). I checked Settings—>Pages—>Document Storage, where it shows that I'm now storing documents "On My iPhone." iCloud does not appear among the choices for storing documents. I see only Dropbox, OneDrive, PDF Expert, and On My iPhone. What happened to iCloud?

I checked Settings—>iCloud, and I see Pages is turned on. What the heck happened?