Why SQL Server Express 2012 take automatically backup in "Virtual Device" without virtual device configuration?
why it show most of the automatically backup taken in virtual device with 
  "NT AUTHORITY\SYSTEM" user name &amp; by default it shows the backup with
  virtual device &amp; their some virtual location.


This is because some tool or windows server native backup feature is taking a Snapshot backup of SQL Server. Such backups normally use NT AUTHORITY\SYSTEM and SQL Server VSS writer service to connect to perform Snapshot backup.

Please note since you said there is no third party backup scheduled I have guessed here that it might be windows native backup. If you want to find more about such backup start the profiler and capture the events when backup is running. Or you can schedule the profiler. I must say profiler can create load so be aware about that  so be selective in events when configuring the profiler.

Workaround:

If you are very much certain that you don't need this backup, which IMO is useless as compared to native TSQL backup, you can go ahead and disable SQL Server VSS writer service. You can go to Services.msc and you would find this service there and then disable it.


  If this backup will going on continuation manner. Is there any impact of my Audit Data? 


No, such backup is not going to have any affect on your data but yes it would be utilizing system resource when running.