Cookies are small files which are stored on a user's device while browsing internet.
When we talk about cookies in iPhone we usually talk about application using the Web Views or the browser applications.
A normal iOS application does not contains cookies. An app will have cookies only if the application has one or more web views.
To check where are the app cookies stored on iPhone,
On an iPhone, go to Settings -> Safari -> Advanced -> Website Data and you will see all cookies stored on your device.
For iOS Application using web view The UIWebView will automatically store the cookies in the sharedHTTPCookieStorage.