I agree with @vino's answer... Page (pageName) even though it is sent on actions, the value is removed during processing.
Oddly, it seems that Adobe has done some attribution magic in workspace that if you breakdown the Exit Link by Page that it will show information, but this won't apply to Segments which look at specific correlation. (I tested this, and while I can see "Page" values as a breakdown, I cannot build a segment on the combination of the standard page dimension and the exit link).
I have custom eVars for Page Name (that will actually track on both page views and actions) as well as Page URL (same, it will track on both types of calls), so that I can actually create segments.. but that won't help you trying to go back and look at the data you have right now.
While we can attempt to create a fancy segment with sequential logic, this won't be exact, as we will have to rely on "within 1 hit" logic, and if there are any hits between the Page View and the Exit Link (example expand/collapse a block on the page, sign up for a newsletter, etc - basically other actions that could occur on the page without triggering a new page), this segment won't return the exit link.
Right now, I can't even create a segment that comes close, and there is some "leakage" that occurs for users that have multiple exits in the same visit... unless I can figure out a way to clean that up, I don't want to post a partial solution...