By default, you have a Pages word processing and not page layout document. In a word processing format document, you cannot remove pages via the thumbnails, and you have to select the pages of text that you want to remove and backspace to eliminate content across pages.
On the otherhand, if you had a page layout document, every thumbnail is a section and a page which allows you to remove content via the selected thumbnails. There is a blank layout template for the latter case of document format.
See Intro to word-processing and page layout documents in Pages on Mac - Apple Support