Check the game store you are using because some apps don’t allow installs to a removable drives like SD cards. Fortnite for example often restricts this. Try creating a symbolic link pointing a folder on your main drive to the SD card. If you are trying to download at Epic Games open Epic Games Launcher and click your profile on the top right click Settings then Scroll to Manage Games and enable Install locations or Allow installation of games in different locations.
Please try these steps and let me know how it goes. If you run into any issues just reply back with the details.
Best regards,
Harry