Cloning issues that are with completed sprint value will inherit the value and can't be removed from UI.

The cloned issues however won't show up in the completed sprint reports.

Workaround

Remove the sprint value from its field via JIRA issue navigator bulk edit:

1. search for the affected issues in the Issue Navigator;
2. click Tools > Bulk Edit;
3. select the issue and click Next, then select Edit Issues and click Next;
4. select Change Sprint and edit the value accordingly - if you don't want the issue to be associated with any sprints, leave the field empty;
5. click Next and proceed with the instructions to complete the change.