Most pages in Mendix cannot get addressed via an url, which is probably the cause why there is no sitemap. There are several exceptions to that: 

• pages made available via the deeplink module
• standard pages like /rest-doc/ and /ws-doc/ 
• pages having a value in their property ‘url’ 

So if you want a sitemap, the quickest way is to use one the tools that do that for you, like this one.