The gallery isn't a "location". It's just an "app" that displays media found on your phone or SD. That said, you can't save photos to the gallery. All downloaded photos will go to the download folder on the device, and the media scanner will detect those photos and display them in the gallery app. Normally, the media scanner will pick them up right away, but sometimes you might need to restart your phone to force a rescan. You can also force a rescan by unmounting/remounting your SD card.
Another thing to look at is to open My Files and check to make sure there's no ".nomedia" file in the download folder. A .nomedia file will hide the contents of the folder and they won't show up in the gallery. You may have to go to Settings in My Files to show "hidden files" in order to see the .nomedia file.