I think you might use command-line FPC compiler for that purpose. You may also (to some lesser extent use PROJECT>PROJECT OPTIONS>COMPILER OPTIONS> and change Unit path and update "target filename" with a relative directory.
Making an executable run in a "separate than project's files" location is prone to some complex issues.
E.g. I have a game which data folders total size is 110 Mb. Should I copy all these folders to RAM each time? How much time would I waste forgetting to do so? Moreover, my game includes a game data editor, so, how much time will I loose by forgetting to copy the DATA folder back to HDD only once after a significant improvement has been made? Well... I'd better wait for compilation 2 seconds more
The consequences might be really unexpected and ambiguous, suitable only for very simple tasks (e.g. making an executable that doesn't require any additional files). So, I'd leave this option for those who understand all the issues and the risk. I don't think I'd ever use it myself.