I normally move /home/user/Downloads off /home/user to a secondary mechanical drive and then symlink it back to /home/user.
Firejail for security reasons does not allow whitelisting directories residing outside of the home directory, the simplest solution I found is mount Download directory using mount --bind.

sudo mount --bind /mnt/data/Downloads/ /home/user/Downloads

To make the change permanent edit fstab:

cat /etc/fstab
/mnt/data/Downloads     /home/user/Downloads   none    bind