Use an archive as the parent of a page?

Once wordpress reads the “Events” part of the URL it knows that what follows are posts or subcategories of the events category, and a page is neither, and that is the reason you don’t even have an option of doing what you want.

Do it as a post instead of a page. Then edit you single.php to have special treatment for your contact post id if you need it. If you are lucky it might be enough to change the css for the specific post.

Alternatively you can try to use the fact that if all other URL parsing options fail, WordPress tries to parse the URL as page, and add a page with the slug “Events” and contact as its sub page. If you go that way you need to always remember not to create sub categories or posts with the slug contact.