I had the same problem, same error message.
I solved the problem by using the New Folder option in the save dialog box. Pages saved the new document there.
To solve the further problem of making my existing folders accessible to Pages, I moved my folders so that I could repeat the process to created all the folders (only four, so not too bad) named as I needed. Then I put my documents into the newly created folders.
It would seem that Pages wants to have ownership of the folders into which it will create files.
This has worked well for a week or so.
This was a new hard drive onto which I had set up a new installation of Yosemite, then migrated in documents and settings. Maybe the ownerships and permissions were jumbled up. I did try permissions repair.
Mac Mini 2009, OS X 10.10.5