Tell PMPro to look in the pages folder of this plugin for PMPro page templates.

my-pmpro-pages-custom-template-path.php

<?php
/**
 * Tell PMPro to look in the pages directory of this plugin for PMPro page templates.
 *
 * Add this code to your Customizations plugin.
 *
 * Make sure that there is a /paid-memberships-pro/pages/ directory in the plugin directory with your templates in it.
 */
function my_pmpro_pages_custom_template_path( $default_templates ) {
	$default_templates[] = dirname( __FILE__ ) . '/paid-memberships-pro/pages/checkout.php';
	return $default_templates;
}
add_filter( 'pmpro_pages_custom_template_path', 'my_pmpro_pages_custom_template_path' );