Photos must have a Photos Library. It can't be on a memory card or flash drive. Most people keep their Photos Library in the Pictures folder on their Mac. (iPhones and iPads have Libraries that are hidden.)
iCloud is a synchronization service (not, as some think, a backup service!) iCloud makes sure that your iPhone, your iPad, and your Mac all have synchronized libraries so that you see exactly the same pictures on all your devices. This means that when you delete a picture on your iPhone, for instance, it is also deleted on your iPad, on your Mac, and on iCloud. (Of course, it goes to the "Recently Deleted" folder where you have 30 days to restore it.) So keep in mind, iCloud synchronizes, it doesn't backup pictures.
So, create a new library for Photos on your Mac-->Close Photos, then option-click on the Photos icon. You will get a dialog asking you what library you want to use-- just create a new one. Name it what you like.
In Settings>General, make this your System Library, and make sure "Copy items" is checked.
In Settings>iCloud, check "iCloud Photos" and check "Download Originals."
Then wait for several days. The pictures from iCloud will gradually fill your new Library.
Double check with this for reference:
Set up iCloud Photos on all your devices - Apple Support
Let us know how it goes...