Can I install MySQL application on the iCloud

I'm afraid not, you cannot actually install any applications or server-side services using your Apple iCloud storage space.

You will need to install a MySQL service on your Mac, use 3rd-party Virtual Machine software to set up a Linux VM on your Mac, or purchase some web hosting, ideally VPS (Virtual Private Server) hosting.

I haven't done this on macOS 10.15 Catalina as you might run into security issues (since it installs into some of the low-level system folder locations) but this is the basics here:

https://dev.mysql.com/doc/mysql-osx-excerpt/5.7/en/osx-installation-pkg.html

Then, with a MySQL server running in the background of your macOS, you can use any MySQL client to connect to that server daemon running in the background.

However, I strongly recommend you get a dirt-cheap VPS hosting service or set up a dedicated linux box on your network for this purpose.

If you're referring to MySQL Workbench, that is merely a SQL client (think of a web browser or FTP client). It still needs an actual server to connect to.

Minus any security difficulties with Catalina, your macOS can run a SQL server service. Since you're also trying to learn PHP as well, I've never run a PHP service on the Mac though.

I will add one more thing, I was being a little bit of a tech snob recommending a VPS. Pretty much any cheap regular web hosting service let's you create a SQL server (Although most cheap regular "shared" "web hosting" only lets you create one database using their web hosting management interface, but presumably that would be sufficient for you). That would probably be the easiest solution and the best for someone learning for the first time.

To set up a SQL server service directly on your Mac that will inevitably require following some guides to using the required terminal commands. I would not recommend it for beginners.

I'm interpreting this as meaning you installed MySQL service running on macOS, and your MySQL Workbench client running inside the Windows virtual machine (i.e. inside Parallels).

You would have to configure Parallels settings to allow the Windows to see your Mac via TCP/IP. It would probably be easier to install any SQL client on the Mac directly so you could just connect to the server at 127.0.0.1:<port>. At minimum, I would install a macOS client as a test even if you still want to use the client inside the Windows VM. Parallels should certainly allow allow your Windows to pass through the networking to the main macOS, it just definitely wouldn't be on by default.

However, before you mess with that you should use terminal in macOS to try and connect to your MySQL service running in macOS.