That key combination is part of Snip & Sketch - a windows app.
https://support.microsoft.com/en-us/windows/use-snipping-tool-to-capture-screenshots-00246869-1843-655f-f220-97299b865f6b
The image does not save anywhere after using that combination. It only copies to the clipboard for you to paste or open in Snip & Sketch to save.