The sitemap and the sitemap indexes are stored in the same directory. But the base_host parameter is used to generate the final url of the sitemap urls. So we can't with only that parameter store the sitemap in another location.

For example, your base_host is http://www.example.com.
But you have configured your dumper to store in web/sitemap/sitemap.xml.

I Cannot use base_host in this case, because the url of the sitemap indexes will be http://www.example.com/sitemap/sitemap-*.xml