A family of Microsoft word processing software products for creating web, email, and print documents.
iCloud cannot be added because it isn't a Microsoft server location. If you're interested in the use of iCloud go to Finder then use Help> MacOS Help to search using the term icloud drive. [Note that it is not recommended to edit Office documents stored on iCloud or other non-Microsoft cloud locations. Copy or move the file to the local HD then copy/move it back when done.
Also, the AutoSave feature provided in Office programs is supported only by OneDrive & SharePoint. Other "clouds" are not built to support it.