If you have a Roku Express 3700, then the Voice Remote will not be able to be paired. (Settings/System/About)
The Roku Express 3900 and 3930 should contain "Remotes and Devices", leading me to believe this may be the older Express model.
If your Roku Express is the 3700 model, then will need the Roku Simple Remote (https://www.roku.com/products/accessories) or you can buy a universal streaming remote compatible with Roku devices. (this will be an IR remote/line of sight).
[Edited - to reflect only the 3700 reference, defer to @Tivoburkee on replacement advice. Thanks for the correction on 3900.].
Roku Community Streaming Expert Just another Roku user... I am not a Roku employee. Insignia RokuTV, Ultra 4660, Premiere+ 3921, Express 4k+ 3941, Streambar 9102