Your IP address. The page shows it back to you and doesn't store it. Location, provider and time zone come from Cloudflare, which hosts the site, looking up your address as it answers the request.
Your browser keeps (local storage, never sent anywhere): the last 10 addresses you checked from it, shown on the home page with a Clear button, and the last address the VPN test saw, so it can compare your VPN off and on. "Check again" keeps the address from before for a few minutes to show what changed. Clearing site data removes all of it.
Statistics. When the IP, VPN or WebRTC test runs, the site adds one to daily totals: the page, your country, whether your address is a datacenter or a home provider, the VPN brand if the network gives it away, whether WebRTC gave out another address, and whether your clock matches your address. No address, identifier or anything else about you is kept. The totals are on the VPN leak statistics page.
The WebRTC test asks Cloudflare's public STUN server (stun.cloudflare.com) which address your browser connects from. That's how the test finds out what WebRTC reveals.
Ads. NordVPN links are affiliate links. NordVPN learns that you came from this site when you click one.