Xray Exploratory App has two different storage locations for its files. 

1) Cloud storage (or Web Console)
2) Local Machine

1) Cloud Storage:

It contains all your workspaces that store all the sessions created by the user or the team. You can read more about it here: Web Console Home Page

2) Local Machine:

In this location, the media attached to your sessions are stored:

Windows:

• C:\Users\<Username>\AppData\Roaming\Xray Exploratory App\sessionss\userMedia

Mac:

• ~/Library/Application Support/Xray Exploratory App/sessions/userMedia