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I want to know because there is an achievement that require you to win the game with 3ish max HP. Now, that's not "too bad" but as the nature of the game, it is very anti-fun and anti-challange achievement and failing it even once is a huge waste of time. So yes, I would like to save scam this achievement for the sake of saving my own time and possibly, sanity.

This question / problem has been solved by AegerHantimage
They put your save file in the AppData folder (which Windows hides by default) preventing you from messing with it. I think you go to Settings then Files and Folders and select Show Hidden Files, then you just open AppData, then LocalLow, then Interactive Fate and you should see the save files.
Alternatively, you can just do a search of your C drive with the name Interactive Fate and that should take you right to it, hidden or not.
Hope that helps. Let me know if it doesn't work.