God damnit. You presented a simple question, and at this time 3 different people have answered your question with contradictory answers "General government budget", "The country issuing the fine", and "Into the EU budget".
If you don't know the answer, don't just make up fictions and present it as fact.
It generally stays in the country issuing the fine, and it's up to that country what to do with it:
>“While the GDPR determines which infringements can lead to the imposition of a fine and which DPA [data protection administration] in the EU/EEA has the power to impose a fine for infringements, the GDPR does not determine what happens to administrative fines [my emphasis]. This is determined by national law and differs between member states. For all aspects of enforcement not governed by the GDPR, national law applies.”