I am using HSQLDB in the embedded mode.
jdbc:hsqldb:file:abc\\\\TESTDB;
After creating the database, the folder abc has the follow
abc
I think you should have a .data file after adding records to database. In the case I'm wrong here are the documentation for you:
.data
http://hsqldb.org/doc/guide/apc.html
http://hsqldb.org/doc/guide/ch04.html