How to cancel an iCloud download on macOS X (Sierra)?
You will normally find these is ~/Library/Mobile Documents.
This is the location that syncs your iCloud files with your devices - Macs, iPads, and iPhones.  It’s not a download like what you do when you select a file download link in a browser like Safari.  iCloud is making a “copy” of what you have in the cloud to what you have local on your device.