How do I connect my iPhone messages to my iPad? IT’S TELLING me it’s not supported

Your description suggests that you are perhaps attempting to “pair” your iPad and iPhone via bluetooth? If so, other than to access your iPhone’s Cellular hotspot, bluetooth pairing of iPad and iPhone is - as indicated - not supported.

To synchronise your messages between iPad and iPhone, ensure that both are signed-in to iCloud with the same AppleID. To send and receive SMS/MMS messages from your iPad you must explicitly enable Text Message Forwarding for your iPad on your iPhone...

On your iPhone:

Settings > Messages > Text Message Forwarding - set to ON - and explicitly enable your iPad from the list of devices.

Also ensure that Messages in iCloud is enabled on both your iPhone and iPad:

Settings > [Your Name / AppleID] > Messages - set to ON

See if this article helps any:

Set up Messages on iPad - Apple Support