Managing Apple Mail Inbox
Is it possible to move a mail message to a folder in the Apple cloud and have it removed from the Apple Mail Inbox?
You can create a mail box in icloud , click on plus sign and select as iCloud , a mail box will be created in " on my Mac section " And move message from iCloud inbox to mail box " ghh " see the article How to use the Mail app on your Mac to move, delete, or copy iCloud email - Apple Support
Note : you can name the mail box .