I'm assuming that you used the "Get Windows from Microsoft" feature found in the Fusion "Choose the Installation Source" dialog to download a Windows 11 ARM installation ISO from Microsoft. What edition and language did you select during that process?
I'd check the following items:
Open the Virtual Machines folder in your user's home folder and make sure that there's a subfolder called VMWisoimages in it that contains the ISO that was created by the "Get Windows from Microsoft" process. What is the name and the size of that file if it's present. If that ISO isn't present, there's some other issue going on.
Open the VM's settings and see if the virtual CD on your VM is pointing to that file.
Make sure that the virtual CD drive is configured to connect to the VM in the VM's settings.