When you create notes from Find or Create ⌘n (or from links), the app saves them in your inbox folder. If inbox folder is not set, it asks where to save them (and defaults to the current folder).
You can set any folder in your workspace as your inbox folder, or select not to use an inbox folder from Preferences → Workspace. If you're using the default workspace (you selected to create a new folder when you launched Nota for the first time), you should have a folder named
inbox/ set as your inbox folder.