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Here's the compatibility list of the Lenovo Digital Pen 2 : https://smartfind.lenovo.com/accessories/#/prod... . Is your Yoga laptop in the list ? Please check that it is the right model number.
Also, here's the Quick Start Guide of the stylus : https://download.lenovo.com/consumer/options/sp... . It does not seem like you need to pair the stylus, but it works with AAAA batteries. Make sure you've inserted charged batteries.
Disclaimer: There are links to non-Microsoft websites. The pages appear to be providing accurate, safe information. Watch out for ads on the sites that may advertise products frequently classified as a PUP (Potentially Unwanted Products). Thoroughly research any product advertised on the sites before you decide to download and install it.