Clone data files are created in the default data location for the SQL Server instance on which they are created. You can change this in SSMS.
Alternatively, it is possible to change the data location for Clone data files only with the steps below. If using this option, however, please make sure that you have adequate disk space on the specified drive.
1) Open C:\ProgramData\Red Gate\SQL Clone Agent\settings.json in notepad
2) Change the null under OverrideCloneLocation to point to the desired location (Note: any backslashes will need to be escaped by entering a double backslash, so it should look something like: "OverrideCloneLocation": "D:\\MyClones")
3) Restart the SqlCloneAgent service