How can I download book from Kindle app to Kindle Volume?
I would use a different book manager on your mac. I would install something like Calibre to manage your e-books.

Calibre is very flexible and there are plug-ins which allow you to remove DRM. This then allows you to share your content across devices without having to have the device registered with Amazon.

I would then download your purchased e-books from Amazon using the "transfer via USB" option. You only need to have one device registered with Amazon for this method to work.  However if you have your paperwhite registered you can also do the transfer via USB with DRM in tact, as stated in the other answer.

When you import them into Calibre the DRM is removed and you can then move the books via USB to any device you want.