Can Mailing labels be made in Pages or any other program on my iMac

You can download label templates for Pages from one of the Avery sites. This site https://www.avery.ca/downloadable-templates/labels-t/address-labels-templates.html allows you to download as follows:

If you're trying to do a mail merge using data you have, say, in Numbers then you can use a short script, as described in this thread, where you can download files to get you started.

Similar results can be achieved from Contacts.app, without a script.

SG

I use Avery Design and Print online and find it to be very good: https://www.avery.com/software/design-and-print/

but labels can also be printed from the Contacts app and from Pages. I do not use the Pages app so can't offer any advice on it.