I am not aware of any "office apps that come with windows 10 pro", unless you have purchased some type of retail bundle that may have included an office license
OR
You are talking about the free web / cloud based free offerings
With Microsoft 365 for the web you can edit and share Word, Excel, PowerPoint, and OneNote files on your devices using a web browser.
www.microsoft.com
IN which case, I don't believe you can change from saving everything created with that resource from One Drive, as a matter of fact it's automatic and there is no "Save" button, only "Save as"
You can of course download a copy to your local computer and save that where ever you want which presumably would be a duplicate of the one in your local One Drive folder and your online One Drive folder.