And quit all apps, including the Finder (use TinkerTool), before doing Command-Shift-3, if you don't want to get the menu bar, its shadow especially, in said screenshot.
If you want it in something other than PDF, use the export feature of Preview.
And, in response to your question, /Library/Caches/Desktop Pictures/ seems to have the closest to what you were asking for, but I've not been able to make anything of those files.