The dialog box that appears when you click on <Page Setup> is not part of Lr, rather it is your printer's setup (printer dialog, printer driver).
If this box doesn't show any other paper sizes, you have to install these sizes using the printer software.
Or, alternatively you have to update the printer driver from your printer manufacturer's website.
If you don't have a photo printer but an office printer, chances are that the typicall photo paper sizes cannot be installed.
PS: Check the specs for your printer in which sizes it can print.