The new Snip & Sketch tool copies to the clipboard but will also save the image in a temp file. The temp file of the image is stored in AppData\Local.

C:\Users\%USERNAME%\AppData\Local\Packages\Microsoft.Windows.ShellExperienceHost_(a string of numbers and letters)\TempState\ScreenClip

Source: https://www.reddit.com/r/Windows10/comments/aia21t/snip_sketch/elt5ajt/