They should be stored in storage/collections/*.php, but the .gitignore file prevents everything inside storage/ from version control.
Here is a small overview of the data structure (with SQLite) - you can ignore cockpit.memory.sqlite:
If you want to have version control for all your data, I would suggest to define a custom COCKPIT_ENV_ROOT with all of your data in a separate folder.
Create a folder path/to/cockpit/data.
Create a file path/to/cockpit/defines.php:
<?php
define('COCKPIT_ENV_ROOT', __DIR__ .'/data');
Now cockpit looks for config/, addons/ and storage inside your data folder. Make sure to copy/create the folder structure from the core and to remove all unused .gitignore files inside it. Now you can version control this data folder.
A more advanced option is to use my cockpit-lib-skeleton for more granular control about your file structure: