I am using Osclass Beta theme. I need to add new page to user profile.

In theme's functions.php page  i can see this for Alerts page

$options[] = array('name' => __('Alerts', 'beta'), 'url' => osc_user_alerts_url(), 'class' => 'opt_alerts', 'icon' => 'fa-bullhorn', 'section' => 2);

So i added new part above it like this

$options[] = array('' => __('New Page', 'beta'), 'url' => osc_user_alerts_url(), 'class' => 'opt_alerts', 'icon' => 'fa-bullhorn', 'section' => 2);

but i can't understand where this function comes from and how it brings the link to like this "/user/alerts"

osc_user_alerts_url()

That will not work.
You need to create route (osc_add_route) and then create function for user menu and hook it (or add manually in functions.php).
What is important that route will require file to be located in folder of one of plugins if I remember correctly.

How to add route? which page should i use for it

Check this:
https://docs.osclasspoint.com/route-functions