There is no "Reports" menu, but on a pictogram there is a snake with an arrow head. It's located somewere in the middle left side of of your screen, quite small and hard to find. You'll have to click on the snake and then you'll see many different reports. There you click on "sprint report", which allows you to see your finished sprints (no report here). I wonder why this tool is so screwed up?
We had exactly the same experience with a new project opened in Jira. The problem was caused by our decision to try the "new gen project" promoted by Jira which somehow only allows limited features and reports. Once we created a classic project, all the reports and features are back to normal.
Issue Search filtering for Project and Sprint, then add a column to show Sprint. It will show the names of all sprints associated with the issues in a comma separated format.
If you are looking for a frozen snapshot of the sprint board at the moment it was closed, I do not know. Obviously, issues will have transitioned between now and the close of the sprint.
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