In order to activate that Pages Insert menu : EndNote Citation menu item, you must install the Pages EndNote Plug-in v3.2. It is designed to be used with EndNote X9.3 or later, and originally written for macOS Sierra 10.12, and Pages v6.2 or later. Whether it still works with Pages v10.3.5 and macOS Catalina will be your experiment.
If the plug-in is to work, you must install it with Pages quit, then start EndNote X9.3.2 before you launch Pages again — and this precedence should enable the Insert menu Endnote Citation option.
No one in this community can provide support for the Pages EndNote plug-in, so any insurmountable issues with it, and your only recourse would be to send feedback to the Pages product team from the Pages application menu, and then seek EndNote 9.3.2 support for MS Word from the EndNote vendor.