Yet another topic IMHO explained in the most possible complicated way in Gitlab documentation, Gitlab pages are in fact extremely powerful and simple to use.
In order to create a website with an URL of the form https://<username>.gitlab.io/<project>, there are a couple of steps to follow. First, write a Job to publish your pages, this job can be part of your project’s .gitlab-ci.yml but for some reason, official documentation gives the idea you are supposed to create a specific repository for that.