iCloud Storage on Mac

Open finder > in cloud section > untitled folder > if files are inside this folder drag and drop to some other location Work with folders and files in iCloud Drive - Apple Support , also untitled folder can be can be dragged and dropped to documents in finder side bar

If you want to delete folder to Mac trash and empty the trash it will be deleted from iCloud.com also .

See the article Delete files and folders on Mac - Apple Support

You can also drag and drop folder literally to the Mac desktop screen .

Note : you have turned on iCloud Drive and desktops and documents box is turned as on .

See these articles Use iCloud Drive to store documents on your Mac and iOS devices - Apple Support

Add your Desktop and Documents files to iCloud Drive - Apple Support

Once the untitled folder is deleted from iCloud Drive locations it will get emptied from iCloud.com also .

Try going to System Preferences/iCloud (Apple ID for Catalina or later) and turn off iCloud syncing for iCloud Drive. When asked if you want retain data, choose no.