can I create document folders in pages and save them somewhere other than the iCloud?

You can create document folder son your internal hard drive or an external drive in Finder, then save your Pages files (or files created in other applications) in those folders.

You may also find a New Folder button in the Save dialogue when you save a new document or when you do "Save As" with a previously saved document. In the Save dialogue, navigate to where you want the new folder, click the button to create one, then give it a name.

Open that folder then click Save to save the document i that folder.

Regards,

Barry