iCloud keeps everything on your Mac unless you have it set to optimize storage, in which case it will keep some files and delete others. To the best of my knowledge you don’t have control over which files stay and which are deleted. It sounds like you want to keep the games off your Mac permanently and link RetroArch directly to their location on the server, which I don’t think is possible. You can only link to the folder where they are stored locally, but then they will be on your Mac, defeating the purpose of keeping them on iCloud to save space. I would look into a Samsung T5 Portable SDD drive. It’s small, fast, and connects via USB-C so you won’t need an adapter for newer MacBooks.
As far as game saves go, last time I checked the iOS version of RetroArch couldn’t link to cloud storage. All files have to be stored within the app. That could have changed though. I’d love to do it myself. Right now I keep all my saves on OneDrive and manually move them between my PC, Mac, and iPad with the Files app. I ended up getting a lightening to HDMI adapter and connecting my iPad to the TV since it’s easier.
Edit: I thought of something else you could try. As I mentioned, I use OneDrive for keeping game saves in sync. Files can be selected to always remain local, while everything else is online-only. I use this for game saves so they are always locally on my machine. You could put all your games on OneDrive and then select the specific games you want to be stored locally. If you don’t play them anymore, make them online only and set new games to always be stored locally. If you don’t have a lot of storage on OneDrive it could be cheaper to use an external drive, depending on the size of your game library.