It's stored in your userdata folder under the ID for a game.
..\Steam\userdata\<User ID>\760\remote\<Game ID>\screenshots
Quickest way to find the Game ID is to look at it's store URL, it'll mostly be right apart from games that have more than one shortcut on Steam.
So as an example....
The 760 refers to the screenshot utility.
TDU2
should have a game ID of 9930, I don't have it to check though.