Nintendo Japan has confirmed via its official website that downloaded Wii U software can not be saved to the SD card. If you’re looking to save software on something other than an SD card you will either need to use your limited Wii U internal storage space, or, invest in an external hard drive.
Downloaded software can only be played on the Wii U it was originally bought from. Meaning if you download a game to an external HDD and try to use that HDD on another Wii U, it won’t work. Downloaded software is saved to the internal memory or what’s in the USB slot. Downloaded software can’t be saved to the SD card.