This depends. While the answer is consistently “in the cloud”. I feel it bears a better explanation.
If you’re paying for a bare metal service, your data is likely on a machine in Phoenix, Arizona (unless otherwise specified). But, either way, it’s replicated along a content distribution network or CDN.
The CDN keeps copies of your most commonly used files replicated to nodes nearer to where they are often demanded. This way that data has the lowest possible latency, per request, as possible.
And, some of you who have paid for the most thorough back-up solutions also have data stored in various other data centers, as well as offline. Not only offline, but deep under a large mountain. And, I am completely serious about that final sentence.