If you don't see the new link option you should see it soon.
When you add a link you can search for what you want to link to: as you start to type the link you will see suggestions:
THIS SITE that gives links to pages of current site andALL RESULTS that gives links to Other Google Sites pages you can editItems in Google Drive like Google Docs, Sheets, Slides and files (e.g. PDFs) you have stored in Google Drive