How do I copy files from icloud drive to an external drive without going directly to my hardrive?

See the article https://support.apple.com/en-in/guide/mac-help/mchl027f1d66/mac

When I download to my Mac from iCloud, a dialog box comes up allowing me to select my destination.

What happens when you try?

Keep in mind, if you see content on iCloud Drive on iCloud.com, it may already be on your Mac in the local iCloud drive folder.