Is there a way to change folder for iCloud Drive?

I'll assume this is about iCloudDrive for Windows (you don't mention that explicitly in your question). If that's the case, follow these steps:

1. Disable iCloud Drive from the Control Panel (please really do this, otherwise it will mess things up)
2. Move (not copy) your iCloudDrive directory (C:\Users\<username>\iCloudDrive) to the new location.
3. Open a command prompt and type: mklink /J "C:\Users\<username>\iCloudDrive" "<new destination>" This creates a junction (sort of a shortcut, but more powerfull) from the old location to the new location.
4. Reboot your computer and everything should be fine