Photos and Videos won't copy to sandisk iXpand

So I logged into iCloud and they all seem to be there. Does this mean that they can’t be transferred from my phone to the sandisk iXpand?

Turning iCloud Photo Library off means I need to download them to my phone, which I can’t because there’s no space left on my phone and is why I bought the sandisk iXpand in the first place, and the other option ‘Remove from iPhone’ doesn’t make sense either because then there would be nothing to transfer. I took all these photos and videos with my phone so they’re not on any other device.

I apologize if I’m being dense here.