Я думаю, вам нужно сначала создать ExcelWriter.
# create an ExcelWriter
writer = pd.ExcelWriter(r'C:\Users\alemthottg\Desktop\KiTTEN-TAQ\PlyCluster\tcr_hv_tv_tth5.xlsx', engine='xlsxwriter')
dftcr_hv_tv_tth5.to_excel(writer, sheet_name='NewSheet', encoding='utf-8', index=False)
writer.save()