COSMIC Screenshot only allows saving images to ~/Documents or ~/Pictures :
Customizing the location has been requested at pop-os/cosmic-screenshot@github.com#15 a year ago, but isn't becoming a thing yet.
However, in the meantime, there is a workaround :
#!/bin/bash
MONITOR_DIR="$HOME/Pictures"
DEST_DIR="$HOME/Pictures/Screenshots/
Cosmic is kind of a…blob of stuff I would say. They don’t have a functional or centralized config system.
Just go edit the source files it’s running from.