The pkg_add(1) program (in Section 1 of the manpages, "man 1 pkg_add" or "man pkg_add") requires an installation path. This is configured via the file /etc/pkg.conf (see the pkg.conf(5) man page) or via the PKG_PATH environment variable. If you have the variable defined, the configuration file is not used. You need to ensure one of these is configured.
To see if you have the PKG_PATH environment variable defined, issue this shell command: "echo $PKG_PATH" -- and if you have a string defined, it will appear in reply. If you have an /etc/pkg.conf file, you can see the contents with the shell command "cat /etc/pkg.conf"
A description of both of these is in OpenBSD FAQ15. See FAQ 15.2.2.