Looking at upstream git repo (git://github.com/Yubico/pam-u2f.git) the
docs initially said the path was ~/.yubico/u2f_keys, but it was later
changed to ~/.config/Yubico/u2f_keys (in 2015).
I have run pam_u2f.so with "debug" option and observed that the correct
path indeed is ~/.config/Yubico/u2f_keys.