How do I ignore an entire directory?

You want Documents backed up while UnrealProjects remains local, including its very large project files. OneDrive’s folder selection controls choose which cloud folders appear on a computer; they are not a local upload exclusion mechanism. Microsoft’s documented approach for keeping files on the computer but outside OneDrive is to move them outside the OneDrive folder. First make sure the projects are fully downloaded and keep a separate backup. Then close applications using them and move UnrealProjects to a location outside every OneDrive sync root and backed-up folder, such as a dedicated local Projects folder. Point your project workflow at that new location and verify that existing projects open correctly. Documents can remain backed up. If the projects must stay under Documents, stopping Documents backup is the broader alternative; it affects the whole folder rather than creating an exception for this subfolder.