Do as I do and select a word or phrase in Pages that you want to assign that web link from the clipboard. Press ⌘+K to open the Link Editor with Web Page selected in it. Then paste your clipboard link into the Link: window and press return. Then click outside of the Link editor on your document and it will dismiss with your link set on the text selection.
Pages does not assign any link underline as you would expect, so with that link text still selected, you can apply an existing Link character style on it to make it visible in the document. If you want a traditional blue link, I can help you with that too.
Pages was never developed as an MS Word clone, nor does it export in HTML format, so don't expect it to behave like MS Word. with links.