It generally stays in the country issuing the fine, and it's up to that country what to do with it:
>“While the GDPR determines which infringements can lead to the imposition of a fine and which DPA [data protection administration] in the EU/EEA has the power to impose a fine for infringements, the GDPR does not determine what happens to administrative fines [my emphasis]. This is determined by national law and differs between member states. For all aspects of enforcement not governed by the GDPR, national law applies.”