Where is Apple Health data "Exported"?
As @fsb commented, you should get an options pane where you select where you want to store the export.zip file created by the Health App.  You can save it to one of many options including Airdrop, 'Files', Dropbox, Notes, or other options. If you didn't get the pane to select where to store your data, then maybe it wasn't finished preparing your data. On my iPhone 6 running iOS 12.4.1, the selection pane appears automatically after preparing your data.