Once ingested into Splunk, incoming data is not retained as "files". It's all squished together into something called a "fishbucket" (or just "bucket").
Now, it is possible that the source file may exist somewhere on the computer system, but that's not really a Splunk thing to deal with.
You can try to track that down, if it actually exists, by looking at the source field on the data. If it looks like a file name, then it probably is a file name.
Then you can identify, if you have admin rights, where that is getting ingested from, and see if the file is still in that place or whether it has since been archived or deleted. In the case of many types of log files, it may also be rolled to another name, so some.log when it gets filled up becomes some.log.3 and then a new some.log is created, which later becomes some.log.4 and eventually it rolls around to reuse some.log.3 again.