Entrance to the cave is in Western Hozzin’s Folly. There is a wooden board path that leads toward it. It is heavily guarded with many enemies in front of. They have settled camp there and you need to make your way into it. Once you are in, head toward the Southwestern Hozzin’s Folly. One of the many skyshards awaits for your arrival.
Hozzin’s Folly entrance in the distance.
Hozzin’s Folly entrance.
To dig too deep would be no Folly.
Sand Kingdom Moons - Super Mario Odyssey Power Moons