I was not able to find a definitive answer from Microsoft on this one. The clients store the files a C:\Windows\SoftwareDistribution. All Technet articles that I find are concerning where the server stores the downloads, if at all. After going through the group policies concerning WSUS and not seeing anything to direct the downloaded files to another location, I would say it is not possible.
One reason for this may be because the Windows directory is the only location that WSUS knows exist for sure. Should you have clients with 2nd HDs and clients without, you would have to write separate group policies. That would require a doubling of the GPOs that administrators would have to support. The best policy is not to fill you c: drives.