My AirPods pro are lost and i need to identify it’s location, but unfortunately give me that incomplete setup.

If you are saying that you didn't have an opportunity to associate these AirPods Pro to your Apple ID, then as muguy has already mentioned, you will not be able to take advantage of the Find My service to either mark them as lost or attempt to locate them.

Visit iCloud.com/find. If you did not set up the device, you'll be unable to find them