Where Entra ID backups are stored?

For actual backups of Entra ID data (e.g., user objects, configurations), Microsoft doesn’t provide a traditional backup & restore service that customers manage directly, and this is common for most SaaS solutions. This is part of the benefit of SaaS, it is the service provider that is responsible for the headaches of keeping the lights on. In SaaS products, you are only responsible for managing users and data (emails, documents, etc). For user level restores Microsoft provides a basic level of data recovery for Microsoft Entra ID through a Recycle Bin. This feature acts as a temporary repository for deleted objects, including users, groups, and applications. When an object is deleted, it is moved to the Recycle Bin and retained for a period of 30 days. During this soft-delete period, administrators can restore these objects to their original state
Entra ID relies on Microsoft’s internal replication and redundancy mechanisms. By default, services like Entra ID are replicated so that no single data center regional outage will impact the service. 
If you have a regulation that requires you to backup your SaaS data there are a few 3rd party vendors that allegedly offer backup services (I have not tested these and they are provided for educational purposes, do you own research on these).