Currently OpenML package creates .openml in home directory. These days this is not a nice behavior, because there is a standard where things should go.

• Use XDG_CONFIG_HOME environment variable to determine base config directory.
• Use XDG_CACHE_HOME environment variable to determine base cache directory.

See more practical information and details here.

So, by default, config should go into ~/.config/openml and cache into ~/.cache/openml.