I don't know where the verification code is being sent

The verification code is being sent to all Trusted Devices signed-in with the same AppleID.

It is not sent by SMS unless you are specifically requesting it and specifying the phone number to be used.

See if this article helps: (read it carefully)

Two-factor authentication for Apple ID - Apple Support

See if anything here helps.  If necessary, you can use account recovery as explained in the link at bottom of the article.

Verification code - how to get one and sign in with two-factor authentication.   *