The Theater movies wouldn't be in the Cloud unless you sent them there. See this link:
https://support.apple.com/en-gb/HT209113
Possibly you sent them to the cloud as you completed each movie. Do you recall doing that?
You should be able to access iCloud drive from Go/Home/iCloud Drive archives. Check also iCloud drive from the Finder menu that appears when you click on the Finder icon in your Dock (the square that has a blue and white face).
On my Mac the Window>Go to Theater option used to be there but no longer is. So I assume that it is no longer available.
However, you can find your Theater files in the Theater folder. Look in your Movies folder. Unless you deleted it or moved it to a backup drive you should have an iMovie Theater.Theater folder there. It won't open by double clicking on it. However, control-click on it and click on Show Package Contents from the dropdown menu. You will see folders titled Archives. Open those folders and your movies will be in there. You can share them out or copy or move them to your desktop by dragging. From there you can send them to the Cloud if you use iCloud Photos. Or you can keep them in a Finder folder or import them into the Photos app.
-- Rich