There isn't a setting to manage that. The contents of the .cia files that you install within Citra go to %appdata%\Citra by default.
The only other option that Citra gives you, is to take all the folders found there (i.e. folders like config, log, sysdata, etc), put them inside a folder called "user", and then put that user folder inside your Citra folder.
You can then store your folder with Citra wherever you want and use Citra normally, in a more portable way.