To copy an email attachment from your mailbox to Documents:
A copy of the file will be saved in Documents and opened for preview. Note: to troubleshoot the cases when Documents does not appear in the list of extensions, please see the following article (1.8. There is no Documents app in the 'Open in' menu).
You can also save files to a specific folder in the Documents app using the Files app. For this follow the steps below:
Note: if Documents is not in the list of extensions in the Files app, open the Files app > Browse view > More button at the top right corner > select Edit > enable Documents toggle in the list of Locations > tap Done. Now you will have access to the local files and folders in Documents via the Files app.