When you initially save, or subsequently option+Save As… a document, you click the up-arrow button on the right-side of the location selector. This will expand the default small Save panel to its larger size, and on the bottom-left of it will be a New Folder button.
When you click that New Folder button, Pages opens a new, empty panel within that new folder, where you can save the current document, or you can click New Folder again, and create a new sub-folder in the previous, outer empty folder. Now you can save the document in that nested folder location.
In the following visual analogy to the second paragraph, I ensured that my current location was on the Desktop. Because I had an existing Pages document, I selected option + File menu : Save As… and selected New Folder twice before saving the document. That created the following folder hierarchy:
Just observe that your next Save will remember this last folder location as the destination until you change it again from the Save panel.