It’s not a folder - it is a shell script (a little program).
pinentry is a dependency of gnupg and should therefore be installed
it looks like this here:
which pinentry
/usr/bin/pinentry
ls -al /usr/bin/pinentry*
-rwxr-xr-x 1 root root 369 Mar 30 02:29 /usr/bin/pinentry
-rwxr-xr-x 1 root root 72248 Mar 30 02:29 /usr/bin/pinentry-curses
-rwxr-xr-x 1 root root 51768 Mar 30 02:29 /usr/bin/pinentry-emacs
-rwxr-xr-x 1 root root 80416 Mar 30 02:29 /usr/bin/pinentry-gnome3
-rwxr-xr-x 1 root root 84512 Mar 30 02:29 /usr/bin/pinentry-gtk-2
-rwxr-xr-x 1 root root 204400 Mar 30 02:29 /usr/bin/pinentry-qt
-rwxr-xr-x 1 root root 183000 Mar 30 02:29 /usr/bin/pinentry-qt5
-rwxr-xr-x 1 root root 51760 Mar 30 02:29 /usr/bin/pinentry-tty
Which one to use can be configured here:
~/.gnupg/gpg-agent.conf
See: