This is possible using conda from the Python Command Prompt. From there you may clone environments to your chosen location.
conda create --clone arcgispro-py3 --prefix c:\mydir\myclone
note that if you put your environment outside the defined envs directories they will not be listed using
conda info --envs
But you may still activate the environment, and all conda functionality are available, but you must use full path to the environment. Set active:
activate c:\mydir\myclone
Or just reference the clone with a full path when running conda commands:
conda install --name c:\mydir\myclone flask
NB: At the moment you may hit the issue described here https://community.esri.com/thread/217048-arcgis-pro-220-and-python-package-manager?sr=inbox&ru=15937... but I guess there will be a fix out soon.