It probably doesn't want to use removable storage, as there's too great a risk of the data getting "lost" if the card is removed or seated incorrectly, and that could cause the program to crash or something similarly unpleasant.
If you really want to do this, though, there's a way to fool it into thinking you're using a local path. This is called a symlink, or Symbolic Link; they are widely used on Unix/Linux but are also usable on Windows. Here's what you do:
1: open an elevated command prompt. By default, only Admins can create directory symlinks on Windows.
2: determine the location where you want the link to be created (somewhere in your user profile is fine), and the location where you want the link to go (a folder on your SD card).
3: ensure the target location (SD card folder) exists.
4: enter the following command in the elevated command prompt: mklink /D <link_location> <target_location> (example: mklink /d c:\users\pwanghk\email d:\email).
5: Set the mail app to store email into the link, which should basically just look like a local folder.
A clever way to do this would be to shut down the mail app, go to the folder it currently uses, rename that folder, then create the link using the folder's original name and copy the contents of the renamed folder into the link. That way, when the app starts up again, it will already be set up to use the link - no need to change anything. You can delete the renamed folder and its contents once you've verified that the link works.
Win8/Windows RT projects:
List of desktop apps for hacked RT devices
Native Access WebServer and Libraries
WP8 Interop Unlocks
XapHandler, Root Webserver, OEM Marketplace XAPs, Bookmarklets collection (Find On Page), Interop-unlock hacks.