inserting web link in pages doc

Select the text to apply the link to and press cmd+K. Select Link to: Webpage. In the Link field, enter the full URL, press return, and then click outside of the Link editor to dismiss its panel.

If you are referring to copy/pasting a URL from a different browser than Safari, then that application may be placing the wrong type of information on the clipboard that Pages is expecting which results in a flawed paste operation.

What I described in respect to the link editor is something I do often, so I know it works. There is additional information on inserting a web link within the Pages User Guide for Mac.

If you are still using Pages '09 on an older release of macOS, then the approach to inserting a web link is different than above.