How can I import iCloud photos and maintain folder structure?

You didn't tell us what you meant by "import." How were you trying this? Do you already have a Photos Library? You also referred to iCloud Drive, and I'm not sure that we would mean the same thing by that. Usually, pictures are kept in iCloud Photos, which is a different sort of thing than iCloud Drive. Since I don't know, I'll guess that you meant iCloud Photos.

If I wanted all the pictures in my iCloud Photos to appear on my Mac, I'd create a new Photos Library (close Photos and option-click on the Photos icon, then choose Create), and name it something descriptive. The Library needs to be stored in the Pictures folder, unless you're using an external drive.**

Then I'd make sure it was the System Library (in Photos>Settings>General),

I can above that "Use as System Library" is grayed out, indicating that it already is the System Library.

And the Library should be connected to iCloud in Photos>Settings>iCloud

(You can choose "Optimize" if you don't have room for full sized pictures on your hard drive). I might double check to be sure I had the same Apple ID as the iCloud Photos account.

Then I'd sit back for a couple of days to a week, and watch the Photos Library automatically fill with the pictures that are in iCloud Photos. I might leave the Mac running overnight with Photos in the background.

** If you are using an external drive to store your Library, then the drive must be formatted in either APFS format or Mac OS Extended (Journaled) format. Additionally, the drive can not have had Time Machine on it since it was formatted. The newest macOSs won't even allow a Library on a non-Mac formatted drive to open, because it just won't work well. You should see this:

Move your Photos library to save space on your Mac - Apple Support

Is this what you are wanting to do? Let us know...