I assume you mean Microsoft's OneDrive, and that's simply the default location that PD uses. You're free to change that to any folder you want, either on a per-project basis or as a default. To change the Export to: folder, simply click on Settings (the gear icon) then click on File.

Note that none of your source clips are ever moved, changed, copied, or stored elsewhere on your computer. If you DO want to save a copy of them with your project file, be sure to use File | Pack Project Materials and then pick your desired location.