By default pam-u2f module reads the keys from $XDG_CONFIG_HOME/Yubico/u2f_keys (or $HOME/.config/Yubico/u2f_keys if XDG variable is not set).
If you want to change auth file locations or centralize database (for example use /etc/u2f-mappings) you can set this option.
File format is: username:first_keyHandle,first_public_key: second_keyHandle,second_public_key This file can be generated using pamu2fcfg command.
More information can be found here.