Moving mail from "On My Mac" to iCloud Drive

Mails that are saved in on " my Mac section " of iCloud can't be saved in iCloud Drive , what is the use of iCloud Drive is explained in the article Use iCloud Drive on iCloud.com on your computer - Apple Support

If there are different Macs signed in with same Apple ID and password say example1@icloud.com on the same network , the mails saved in on " my Mac section " in iCloud will not sync with other Macs .

However if you want mails to be saved in on my Mac section create a new mail box Create or delete mailboxes in Mail on Mac - Apple Support

From various accounts like gmail , yahoo ....etc that are configured in Mac say the mails are in sent / inbox folders of respective accounts , those mails have to be selected ( use command and A keys ) , copied ( use command and C keys ) and pasted ( use command and V keys ) in the mail box created in on my section .

you had right clicked on mail box that in on my Mac section and export mail box .

If you click on iCloud drive in the side bar it will be selected and click on choose , the mailboxes don't need to save on Macintosh HD or iCloud Drive or in home folder they will occupy massive space , or you click on new folder .