You have not copied a file and renamed it . (at any rate if you're running a sane *nix). Instead you have copied the file to the current directory with the name of the original file. (If you pass a directory to cp as the destination, files will be placed in that directory. . is the current directory, so this is all that has happened.) If you want to remove it you can just rm uniprot_sprot.fasta.gx.iscloud or explicitly rm ./uniprot_sprot.fasta.gx.iscloud. What you have tried to do is to remove a file whose name starts with ., which is a different thing.
Edit: I was unaware when I wrote this, but this is in fact simply down to . existing as a real, regular hardlink. At syscall level you can create a file whose name contains anything except / and \x00 (yep, including \n), assuming your filesystem allows it. However, the links . and .. are already present and thus unavailable as a file name. @thatotherguy links to the kernel source for the rmdir syscall, showing that in modern Linux at least it is the kernel itself which ultimately prevents you from deleting . and ...
Note that in bash, . at the beginning of a line by itself means source.
See this question on unix.se and its linked dupe for more information on the filename problem.