First thing, use better variable names. ii is really bad, it does not mean anything and looks like a temporary variable. Let's call it filenumber instead so it's immediately clear what the purpose of the variable is.
filenumber = [2 5 9 10 11 15 16 17 18 20 1 3 4 6 7 8 12 13 14 19];
filestoload = 10;
cycles = struct('Cycle', cell(1, filestoload)); %predeclare structure
for idx = 1:filestoload;
filecontent = load(sprintf('%d.mat, filenumber(idx))); %avoid plain load, always load into a variable
cycles(idx).Cycle = filecontent.Cycle;
end
