Where does my Bitcoin go? Does Koya hold it for me?

It goes to the wallet address you give us, and Koya does not hold it afterwards. There is no Koya balance and no Koya wallet to keep coins in: a conversion ends when the Bitcoin reaches your address. That means the address you enter matters enormously, because a Bitcoin transaction cannot be recalled once it is on the network. Check it before you confirm, and use an address from a wallet you control.