Cycle Finder windows but exclude the desktop
First, you're going to need an AppleScript that can swap the position of the two frontmost windows.

tell application "Finder"
    set index of window 1 to 2
end tell


Now you need a way to make this script easily accessible from the Finder. We'll use macOS services, and Automator makes this super easy for us.


Open Automator
Make a New Document of type "Quick Action" (or "Service" in older macOS)
Drag a new Run Applescript action into the workflow. You can find it in the Utilities category, or just search for it in the search bar.
Copy the AppleScript shown above into the script box.
Press ▶ to try it out. You'll get an error if you have fewer than two windows open -- I'll leave that as an exercise to the reader to fix.
Save the workflow as Swap Front Windows. The moment you save it, it will become accessible from the Services menu under the application menu.


At this point you can really try it out. Go to the Finder and open two windows. Then go to the menu bar, choose Finder -> Services -> Swap Front Windows. It takes a moment, but it works. That's cool, now let's hook it up as a keyboard shortcut.


Open System Preferences
Go into Keyboard Preferences
Go to the Shortcuts tab
Go into the Services category
Scroll down to the bottom. Underneath General you should see Swap Front Windows.
Select the "Swap Front Windows" row, then click Add Shortcut.
Enter the shortcut you want to use. I recommend Ctrl + Shift + `.