How can I find someone threatening me through iCloud Mail?

Short answer is no. Anyone can create an Apple Account without using any legitimate information, since there is no proof of identity checks to create one. Apple also does not track users to know where they are located.

You can report the threatening communications to Apple. They may take their own action, including suspending the Apple Account of the sender if they are using one. You would not be given any information about that sender.

Recognize and avoid social engineering schemes including phishing messages, phony support calls, and other scams - Apple Support

You can also block communications:

Flag or block emails in Mail on iPhone - Apple Support

And finally, report any criminal activity to the Police, that includes harassment or threats. Law Enforcement investigations have the ability to subpoena Apple for information on a particular user, and Apple complies with these legal requests for any information they have, which may be nothing for the reason above. If the sender is using a third party email provider to send those messages, Law Enforcement can also subpoena that mail provider.