Default Project Location in ArcGIS Pro:
By default, ArcGIS Pro sets your "Documents" folder as the location to create and store new projects.  If you would like to change this you can do so by going to the “Project” tab, and then selecting “Options” from the links on the left..  Here you will see a grouping for “Project” and another for “Application”... under the "Application" group expand "General" and you should see an option for “new projects are saved in a custom location”. This should allow you to change your default new project location.