Check the preferences in Photos (from the Photos menu). Is iCloud Photo Library enabled in the iCloud tab of the Photos preferences, like this?
In that case your original image files will be in iCloud.
See this Help page on how to stop using iCloud Photo Library: https://help.apple.com/photos/mac/1.0/?lang=en#/phtf5e48489c
Important: If you decide to turn off iCloud Photo Library, first be sure to select “Download Originals to this Mac” in the iCloud pane of Photos preferences, so all your original photos can be downloaded from iCloud to your Mac. Be sure to allow time for your originals to download before turning off iCloud Photo Library completely.
- Choose Photos > Preferences, then click iCloud.
- Deselect the iCloud Photo Library checkbox to turn it off.
After you turn off iCloud Photo Library, the Photos app on your Mac can’t access your iCloud library, and any edits you make to photos on your Mac won’t appear on your other devices. Your library remains in iCloud and available to other devices that use iCloud Photo Library. To turn off iCloud Photo Library on all your devices, open the iCloud pane of System Preferences, click the Manage button, then click Photo Library. Click “Disable and delete.” Your photos and videos will be deleted from iCloud Photo Library in 30 days, unless you click Undo Delete before that time.