If you look at x:\autoexec.bat, there is a SET WIN3DIR=X:\OS2\MDOS\WINOS2 line, I'd guess this what you change to point at WinOS2 on a different drive.
You could easily test by using the WPS to move your WINOS2 directory to a different location, and adjusting the SET WIN3DIR line. WinOS2 itself probably just expects things like \system to be under the main WINOS2 directory. I'd start out by keeping all the directory names the same, eg move WINOS2\ to x:\WINOS2 or x:\foo\WINOS2.
Let us know your results.
Edit: Fahrvenugen also makes some points about other things that need adjusting. Possibly if mdos is in a different place, COMSPEC might also need setting in autoexec.bat to point to command.com