If you start a new document, there are no styles defined. Either start from an existing template and copy the styles, or create your own (like I did, based on https://stackoverflow.com/a/27864752/461499 )
See here:
    XWPFDocument document = new XWPFDocument();
    XWPFStyles styles = document.createStyles();
    String heading1 = "My Heading 1";
    String heading2 = "My Heading 2";
    String heading3 = "My Heading 3";   
    String heading4 = "My Heading 4";
    addCustomHeadingStyle(document, styles, heading1, 1, 36, "4288BC");
    addCustomHeadingStyle(document, styles, heading2, 2, 28, "4288BC");
    addCustomHeadingStyle(document, styles, heading3, 3, 24, "4288BC");
    addCustomHeadingStyle(document, styles, heading4, 4, 20, "000000");
    XWPFParagraph paragraph = document.createParagraph();
    paragraph.setStyle(heading1);
    XWPFRun run = paragraph.createRun();
    run.setText("Nice header!");
And
private static void addCustomHeadingStyle(XWPFDocument docxDocument, XWPFStyles styles, String strStyleId, int headingLevel, int pointSize, String hexColor) {
    CTStyle ctStyle = CTStyle.Factory.newInstance();
    ctStyle.setStyleId(strStyleId);
    
    CTString styleName = CTString.Factory.newInstance();
    styleName.setVal(strStyleId);
    ctStyle.setName(styleName);
    CTDecimalNumber indentNumber = CTDecimalNumber.Factory.newInstance();
    indentNumber.setVal(BigInteger.valueOf(headingLevel));
    // lower number > style is more prominent in the formats bar
    ctStyle.setUiPriority(indentNumber);
    CTOnOff onoffnull = CTOnOff.Factory.newInstance();
    ctStyle.setUnhideWhenUsed(onoffnull);
    // style shows up in the formats bar
    ctStyle.setQFormat(onoffnull);
    // style defines a heading of the given level
    CTPPr ppr = CTPPr.Factory.newInstance();
    ppr.setOutlineLvl(indentNumber);
    ctStyle.setPPr(ppr);
    XWPFStyle style = new XWPFStyle(ctStyle);
    CTHpsMeasure size = CTHpsMeasure.Factory.newInstance();
    size.setVal(new BigInteger(String.valueOf(pointSize)));
    CTHpsMeasure size2 = CTHpsMeasure.Factory.newInstance();
    size2.setVal(new BigInteger("24"));
    
    CTFonts fonts = CTFonts.Factory.newInstance();
    fonts.setAscii("Loma" );
    CTRPr rpr = CTRPr.Factory.newInstance();
    rpr.setRFonts(fonts);
    rpr.setSz(size);
    rpr.setSzCs(size2);
    CTColor color=CTColor.Factory.newInstance();
    color.setVal(hexToBytes(hexColor));
    rpr.setColor(color);
    style.getCTStyle().setRPr(rpr);
    // is a null op if already defined
    style.setType(STStyleType.PARAGRAPH);
    styles.addStyle(style);
}
public static byte[] hexToBytes(String hexString) {
     HexBinaryAdapter adapter = new HexBinaryAdapter();
     byte[] bytes = adapter.unmarshal(hexString);
     return bytes;
}