According to the docs, there should be a lemmy-ui folder that was created by the Ansible install. Within that folder, the app is set up to search for an extra_themes folder by default.
For native installation (without Docker), themes are loaded by lemmy-ui from ./extra_themes folder. A different path can be specified with LEMMY_UI_EXTRA_THEMES_FOLDER environment variable.
Digging into the docker-compose.yml file used by the Ansible playbook, it looks like this is where extra themes directory is mapped into the lemmy-ui service.