The default location of errmsg.cat is /usr/lpp/teradata/client/20.00/lib.
If you want to use errmsg.cat from another folder, set environment variable COPERR.
JCL example to set COPLIB:
//ENVFILE DD * COPERR=/home/randomfolder /* //CEEOPTS DD * ENVAR("_CEE_ENVFILE_S=DD:ENVFILE") /*