Pages document saving issue: File location stuck on 'Pages - iCloud' and title reverts to 'Untitled'

You save an initial Pages document from the File menu > Save…, enter a proper filename instead of Untitled, a tag (if any), and choose the preferred Save location. Then click Save. This activates Pages autosave and auto versioning to the filename you provided.

By default, the Pages Save panel is minimized with the arrow on the right-side of the Where selector pointing down. To expand that to a larger, more useful panel, with Finder Favorites sidebar, you click that arrow to point up. Pages will not only remember that panel setting, but also the save location until you change it in a future document save.

What I have described is how I have been saving Pages documents for years. It would be very unusual for me to bother with the title bar which is giving you issues.

See Pages User Guide for Mac - Apple Support