Surrogate is correct, changing page tab names takes custom macro. Below is very simple example. It takes the name of the current active page and changes it to "Fig #" where # is the index of the current page. If you want to make create consecutive numbering, say, Fig 1, Fig 2, ..., that takes more coding and planning to determine what number to add to the sequence.
Somehow, you need to loop thru all pages searching for those that have "Fig" and determine the next number in the sequence to use for name.
Sub ChgPgName()
Dim vPg As Visio.Page
Set vPg = ActiveDocument.Pages.Item(1)
vPg.Name = "Fig " & vPg.Index
End Sub
If you want to add a new page, use this:
Set vPg = ActiveDocument.Pages.AddHTH