Is there a way for me to copy files directly from iCloud Drive to an external hard drive?

Your iCloud Drive is full see this article https://support.apple.com/en-gb/guide/mac-help/mchl1a02d711/10.14/mac/10.14

Move items to your Mac and remove them from iCloud Drive

• On your Mac, drag items from iCloud drive to another folder in the Finder sidebar or on the desktop, such as Downloads, Movies, Music and Pictures. 
• The items are copied to your Mac and removed from iCloud Drive on all your devices set up for iCloud. If you change your mind, you can drag items back to iCloud Drive.

Read this also https://support.apple.com/en-in/guide/mac-help/mchl027f1d66/mac

You can select files ( use command and A keys ) copy files ( command and C ) , paste them ( command and V keys ) .

A couple of years ago I helped a neighbor download to an external drive attached to a Windows PC and I suspect that the same would work on a Mac. Attach your external drive and then go to your browser preferences and change the download location (e.g., in Safari, Safari Preferences > General > File download location) to your external drive. Then use the internet browser and log into icloud.com and select and download the files.

I don't know of a way to download folders. You can download multiple files by using the command click or shift click to select the files.

tygb's post has me wondering if I assumed too much from your original post; you stated that your MacBook drive is full and that you can't sync iCloud Drive to it and I jumped to the conclusion that it was the first time that you had tried to use iClod Drive on that Mac and that it hadn't sync to it before. If the files are (or maybe are) already on your Mac drive, open Finder and use the Finder "Go" menu to go to the iCloud Drive folder. You can then move the files directly from there to your external drive as he described.