Hello bcollMR,
Thank you for posting this case in Microsoft Community!
As mentioned, there is no Save Asoptions in Outlook web for saving attachments and only see 3 options Preview, Save to One Driveor Download. I would like to cooperate with you working on this case. To clarify this case, please check following captures if you are using saving attachment features:

With my testing, there is indeed only 3 options(Preview, Save to One Driveor Download) for you to save email attachments in Outlook Web. Firstly, I am so sorry that Save As feature is not designed for Outlook Web but available in Outlook for Windows. For Preview and Save to OneDrive options are definitely not the one you want. For my suggestion, Download options is one feature we can try it which may meet your requirement. When you are using Outlook Web via Browser, you can go to Downloadsetting for Browser such as Google Chrome. There is two options we can set up Downloads:
- Change the location to download any files to default local path(Not recommended as not you want);
- You can enable Ask where to save each file before downloadingoptions. If enabled, when you save any email attachments, it will pop up new windows and select any local path you want just like Save as feature.
(Please note: This feature is available for most of popular Browsers, but I am not sure if available for the Browser you are using now. )

I am so sorry there is no direct Save Asoptions in Outlook webfor saving attachments. We do understand it would be more convenient and suitable for your daily work, so it is recommended that please click Help > Feedback or Outlook · Community (microsoft.com) and leave your good ideas there. Microsoft will keep monitoring customers feedback and good ideas there, some features would be changes based on customers feedback in the future, and your good ideas will be very helpful for the dedicated develop engineers in Microsoft to improve the product and services in the future. Actionable feedback is the most useful – tell us what you’re trying to do, and if anything fails to meet your hopes and expectations.
If you need further assistance, please feel free to let me know, I will keep assisting you. I am looking forward to receiving your reply.
Your understanding and patience will be appreciated.
Thank you!