Do you have a steam library on the slow drive? Apparently steam usually puts in-progress downloads to the same drive as the game destination but if there’s not enough room or maybe just at random steam will download to the wrong drive.
This is a few years old now but there’s some discussion here https://steamcommunity.com/discussions/forum/1/1646544161774522444/
Yeah. You could try making a symlink from the removable drive downloading folder to your fast drive but I don’t know if that can cause any issues with removable drives, or what would happen if you ran out of space on the removable drive.
Another option would be to use the steam mover app to move games back and forth from your fast/removable drives and get rid of the steam-controlled library that’s located there on the slow drive…