Hey @Dana Racheal from the support engineer team here 

It looks like you’ve been in touch with my teammate Kyle on this, I’ll paste his reply here for future viewers! First, I've made a feature request to the product team that you would like to see documentation on setting up a Help Center Subpath with Cloudflare!

Looking at this Cloudflare forum post, that seems to indicate that creating subfolders for domains is possible, but the docs that they link to say that functionality is only available on their Enterprise plans I'm not sure if this could be the case that the issue is coming from (potentially not being on an Enterprise plan with Cloudflare) so I would advise you to reach out to their Support team directly as they should have more information on it.