We are using sharepoint online and from a document library we were trying to execute the "Shared with external users" report by clicking on the Run reports link located under Settings -> Site Usage. On clicking on the Run reports link, a new page opens with "Choose a destination to Save this report" along with an error "Something Went Wrong . We couldn't find 'Documents'. Please create a document library called Documents and try again. " From the above error message it is evident that the library called "Documents" does not exists. The issue is that there is no browse option to select new location. Can anyone pls let us know where can we change the location. (changing the location from Audit Log Reports under Site Collection settings does not change the Site usage report location)
Per my knowledge and test, the location for sharing report cannot be changed. According to this notification, please try to recreate a library called "Documents" and have a try. I tested with it and reproduce your issue after I deleted the default documents library.
The run report works properly after I recreate a new library called "Documents"