if I remove my photos from the iPhone where will they go? On this MAC or iCloud?

If you sync photos to iCloud and you remove them from any device that syncs to iCloud (such as your phone) they will be removed from iCloud and all other devices. iCloud is a syncing service, not an archiving service. If you want to remove them from your phone you need to archive them with a service that supports archiving, such as Google Photos, Amazon Photos, Dropbox, etc, or transfer them to folders on your computer (and not to iCloud Photos on your computer).