Can we specify in Power Query which local worksheet to load the data?

Anonymous - I've just re-read your question and I think I understand now what you're saying. I don't think the answer that has been marked as a solution is correct.

If you right click on your query and choose 'Load To...'

In the next dialogue box choose 'Table' and 'Existing worksheet'

This will let you specify the location and click load.

By default data will be replaced by the query but there are also some additional settings if you go to the table properties.

Example workbook attached.

If this answers your question, let me know and I'll make sure it gets marked as the solution.