You have Pages set to write to iCloud. You can change this behavior. Close any open document and press ⌘Q to formally quit Pages.
In System Settings, click on your name and avatar to expose iCloud in the subsequent panel. Click that iCloud item and it will open a new panel where you will see Saved to iCloud [ See All ]. Click that button and scroll down on the resulting panel until you come to Pages. Disable that Pages slider and click Done.
The next time you launch Pages, it will now show you the Template chooser by default and you will no longer see a Pages folder on iCloud Drive as it is now hidden from you and the Pages application. What we have discussed previously should now allow you to regain access to your local drive for save locations.
See if this also resolves your initial file saving and document naming from Untitled.pages.