You had an Apple ID say example1@gmail.com or created with iCloud domain that was previously used in somewhere it could be Mac / iPhone / iPad ( that are not in possession ) .
Now you purchased a new iPhone and trying to sign in with same Apple ID and password and it creates a verification code and the code goes to that Mac , but can't obtained as Mac / iPhone / iPad are not with you .
Click on back as shown in your screen shot .
To avoid using this Apple ID create a new mail account say with gmail services https://support.google.com/mail/answer/56256?hl=en
You have to visit a friends place or apple authorised service centre to use the browser or can create a gmail account from your new iPhone also .
Use this mail address and sign in with iPhone as an Apple ID and create an account with secondary authentication in which three answers for security questions , date of birth , rescue mail address and its password , credit card details ( optional but very much helpful ) .
See the articles Set up your iPhone, iPad, or iPod touch - Apple Support
How to create a new Apple ID - Apple Support
Sign in with your Apple ID - Apple Support
Set up iCloud on your iPhone, iPad, or iPod touch - Apple Support
Set up iCloud Drive - Apple Support
And have to turn on iCloud features Turn iCloud features on or off - Apple Support
In this way you can skip 2FA and get a code , use a new Apple ID set it with secondary authentication .