ah. I didn't realize there was a second step. I think I've built the docs once before, but it's been a while.
https://doc.qt.io/qtforpython/gettingstarted.html#building-the-documentation-rst-api
the target you are supposed to build is apidoc:
go to the generated *_build/*_release/pyside6 directory, and run:
ninja apidoc
(Note I'm just providing excerpts from the above doc - which I'm guessing you've been referring to)