Where is dumped file in Google Colab?

It’s in the current directory. You can also download it back to your local machine with

from google.colab import files
files.download(‘data.pkl’)

You can upload it to your Google drive:

from pydrive.auth import GoogleAuth
from pydrive.drive import GoogleDrive
from google.colab import auth
from oauth2client.client import GoogleCredentials

# 1. Authenticate and create the PyDrive client.
auth.authenticate_user()
gauth = GoogleAuth()
gauth.credentials = GoogleCredentials.get_application_default()
drive = GoogleDrive(gauth)  

# get the folder id where you want to save your file
file = drive.CreateFile({'parents':[{u'id': folder_id}]})
file.SetContentFile('data.pkl')
file.Upload() 

This code basically fetches the data.pkl from the cloud VM and upload it permanently to your Google Drive under a specific folder.

If you choose not to specify a folder, the file will be uploaded under the root of your Google Drive.