This is a known (Issue #340) limitation of the install-able release of the Twine 2 application for Window, which unfortunately assumes that the Virtual (My) Documents folder in Windows is always a child folder of a location determined by a set of System Environment Variable related to the current Windows User.
The method I personally use to relocate the application's Stories folder (whose name and location can be different for someone not using the English language) to elsewhere on my machine, is to replace that folder with a Symbolic Link. (There is an article on the How-to Geek web-site that explains how to create these links.)
WARNING: This method may not work correctly for a removable drive, due to the Symbolic Link possibly breaking if that drive is removed. If the link does break then you will need to do step 5 each time you remote the drive.
The steps I used were:
1. Run the install-able release of the Twine 2 application (it creates that Stories folder the first time the application is run)
2, Use the Twine > Show Library menu items to determine the location that Stories folder, as previously noted the name and location of this folder can be different based on the User's language.
3. Close down the Twine 2 application, it is important that that Stories folder is not being accessed by the application.
4. Move that Stories folder to where ever you want it to be located.
5. Create a Symbolic Link (with the same name as that Stories folder) within the old location of that Stories folder that references the new location of that Stories folder.
eg. If the old location of the folder was C:\Users\<windows user>\Documents\Twine\Stories then I would create a Symbolic Link named Stories within the C:\Users\<windows user>\Documents\Twine folder.
6. Run the install-able release of the Twine 2 application and it show now use the new location of that Stories folder to store your Story Project HTML files.