They files are WString.h and WString.cpp. They are in the core library, the location of which depends on which board you have selected from the Arduino IDE's Tools > Board menu.
Here's an easy way to find the location of the active core library:
- Select a board from the hardware package from the Tools > Board menu
- File > Examples > SPI > BarometricPressureSensor
- Sketch > Show Sketch Folder
- Move up folder levels until you reach the one that contains boards.txt
- You will find the core library in the cores/{core name} subfolder, where {core name} is set by the build.core field of the selected board in boards.txt (often there is only one core library in a hardware package and thus you would not need to check which the board uses).
Interestingly the rogerclarkmelbourne/Arduino_STM32 package has a version of WString for STM32F1 and STM32F4 but not STM32F3.