Where is "UNDO" in SQL Server?
Part of the transaction log, per database?


Yes that is correct. Undo happens when database goes through crash recovery or recovery. There are 3 phases of recovery 


Analysis
Redo
Undo


The undo phase is where transactions that are not committed are rolled back so that they don't end up being in database when it comes online. Yes this information about transaction which is not committed is present in transaction log. To understand more about this please read Logging and recovery in SQL Server

Tempdb is always in simple recovery model but "Minimal Logging" is followed in tempdb. This means ONLY information to rollback transaction is there no information to rollforward the transaction is present. Crash recovery does not happens in Tempdb.

Further Reading.


Understanding How Restore and Recovery of Backups Work in SQL Server