It will be saved to the folder you are in when you click on the + button. Or more precisely it will then be created there. So you must first navigate to the folder where you want to create the file and then click on the + button. As far as I know, there is no other possibility directly in the web interface of Nextcloud.
Otherwise you could use the Onlyoffice Desktop App and connect it directly to your Nextcloud or use it together with the Nextcloud Desktop Sync Client.