You might want to look in apps/tuxbox/enigma/lib/dvd/epgcache.cpp file in tuxbox-cvs. I have a hunch that it is not stored anywhere permanently. In enigma you can get the cache by getting the instance of the eEPGCache object. So maybe the best is to use the HTTP to get the EPG if you wnat it from outside of enigma.
There is also an XMLRPC code in enigma, though it is not clear yet to me exactly what services are provided (?) if any.
PS: You can browse the code also online ->
http://cvs.tuxbox.org/cgi-bin/viewcvs.cgi/tuxbox/