When you start a new document in Pages, the first step is to just save the blank document with a meaningful name to a specific folder location. That enables autosave. The Save or option+Save As dialogs are bi-modal providing a minimal view, and a larger view with more options.
This is the minimal view:
and if you are not paying attention to the Where: it will likely shove the file out to iCloud Drive, or the last folder that you previously saved the document. By clicking the arrow at the end of the Where selector, the panel expands to allow you more location choices, the ability to create a new folder, other features.
If you cannot open any of the File menu : Open Recent filenames, then Pages cannot find them on iCloud Drive or your local drive. If you save them to Dropbox, Microsoft One Drive, or another non-Apple iCloud drive, it may not locate them. Files that are deleted from the System do not disappear from the Open Recent list.
You can restore these Pages documents from a Time Machine backup. You can also restore them from your iCloud account settings panel where it will allow you to restore files that were deleted in the last 30 days.