Where are nzb files stored

I’ve just started looking into ZNBdrone as a replacement for Sickbeard. The way I have Sickbeard set up is to simply grab the nzb files for the shows I want and store them in a specific directory where I can use them.

Looking at the configuration, I don’t see any mention about nzb file location. Is this not the way NZBDrone works?

Sonarr sends it to the download client. You can use UsenetBlackhole to have the nzb put in a directory, but obviously after that Sonarr won’t do anything with it anymore.
Using one of the supported download clients is recommended coz it gives you proper importing, tracking and failed download handling.