@yogthos
If they didnt get you to specify in the first place, its really up to the app to let you know - or at least save it to somewhere you may expect/guess, like the Downloads directory

The gradual enforcement of scoped storage means up to date apps on recent Android versions limit the places they can save files (media in media directories - otherwise has to be in Downloads or the apps folder under Android/data/ ) unless the app asks you to select a directory for it to read and write within