If your new Apple iPad Air is one of the following models:
Then it should be compatible with the Apple Pencil Pro.
With that said, please review the following article to help troubleshoot why your new Pencil is not connecting:
Finally, how Find My works with the Apple Pencil Pro is a bit different than with other Apple devices or items.
You can use Apple's Find My app to locate a missing Apple Pencil Pro, and while it's primarily designed for use with an iPad Pro (M4) or other compatible iPads, you don't necessarily need an iPad to check its last known location.
How to Locate a Missing Apple Pencil Pro Using Find My
- Open the Find My App on your iPhone, iPad, or Mac.
- Tap on the "Devices" Tab to see a list of your connected Apple devices.
- Look for your Apple Pencil Pro in the list.
- If it's nearby and connected, you may see an option to use Precision Finding (although I believe, since it doesn't have a U1 Ultra Wide-band chip, it may not).
If it’s not connected, Find My will show the last known location where your iPad was connected to it.