When you start an Ironman game you select cloud or local, there isn't really a way of changing that choice once in a given campaign.
What you can do is Use Notepad to make a new text file called userdir.txt in the Steam CK2 folder where ck2game.exe is. In that file put in a standard Windows file path to where you want the game to write and read local saves, it will also place other user files there like settings and mods. Then move the local Ironman save there.