That's not a file, it's an environment variable. It is defined in the context of where your application is running, presumably a start script.
Here is an example app and start command to illustrate:
main.js:
console.log(process.env.MY_VAR);
started using:
> MY_VAR="hello world" node main.js
hello world
Added: As others pointed out, if you created your apps using create-react-app then this article describes how to use .env
files in your project root folder to set such environment variables. For that it appears to be using this package, which you might find useful also in other contexts.
Otherwise I would look at the way you start your app (script/command) and follow the execution path until you find where that environment variable is set.