Where on disk are imported Photos? As shown in the screenshot the "Show Referenced File in Folder" is grayed out. What are the (remaining/alternate) options to locate them on disk?
Generally speaking photos are moved into the Photos Library.photoslibrary file located in your Pictures folder in your Home folder. This is a package file that contains the picture, thumbnails, metadata and changes you have made to picture imported into the Photos.app.

Right or control click on the photos library file and select "Show package contents" to have a look.

Though I don't use this feature I believe it may be possible to import a picture into Photos.app and leave it where it was. That is likely where that menu function comes into play, I believe.