Hat Password managers such as Bitwarden and Proton Drive all store the passkeys in the cloud. I don't know how they're protected locally while they are synced to the phone, but regardless they will also be stored on their servers.
I don't know if there is a way to currently save passkeys on the HSM of an Android phone. It's certainly possible – but not clear as to how it works – to store non-passkey FIDO credentials on the Pixel device itself. But these still require Play Services and they cease you exist/function if you remove Play Services from the user profile. Even if you reinstall Play Services, you won't get them back. I know that might come as a surprise, but that is the current state of FIDO on Android.