You probably assume that each new Word 2016 document starts with a page size reflecting a typical sheet of paper. Such foolishness. Word's Normal template does specify a page size equivalent to a standard sheet of paper. In the United States, that's 8-1/2-by-11 inches. In Europe, the A4 size is used.
You're not stuck with either size, because the page size is part of the page format, and you can change it. Follow these steps:
Click the Layout tab on the Ribbon.
In the Page Setup group, click the Size button.
The Size button icon is shown here.
Choose a page size from the list.
For example, if you want to print on that tall, legal-size paper, choose Legal from the list.
Your entire document is updated to reflect the new page size, from first page to last.
To select a size not shown on the menu (refer to Step 3), choose the More Paper Sizes menu item. The Page Setup dialog box appears. Use the controls on the Paper tab to manually specify the paper size.
Page size can be changed at any time, whether the document is empty or full of text. Obviously page size affects layout, so such a major change is probably something you don't want to do at the last minute.
Your document can sport multiple page sizes. To do so, split the document into sections and apply the page size to one section at a time. Applying page formats one section at a time is done in the Page Setup dialog box.
Page size definitely plays a role when a document is printed. Despite your zeal to choose an oddball page size, unless the printer can handle that size paper, the document can't be printed. It can, however, be published electronically.