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")
/*