Pages v5.6.1 on El Capitan 10.11.1.
I just created an indented quotation using ITC Garamond Book Italic with altered left and right margins. While selected, I clicked the + symbol in the Paragraph Styles pop-up, named the new style Indented Quotation, and pressed return.
While still selected in the document body, I applied the Body Paragraph Style to restore normal formatting, and then with the text selected again, applied the Indented Quotation Paragraph Style — which worked as expected.
If you want your new Paragraph Style to survive across documents, you will need to save it into a template. You can also have two different Pages documents open in Pages v5.6.1, and copy/paste custom styles between selected text in these documents by using the Format menu.