On the below link, i can see all the addresses that hold $wiTry on megaEth:
This is the balance i hold on world markets:
but in the etherscan link above, i cant find an address that holds the exact balance i own. Why is that?
That is because World contracts are holding your wiTRY and you hold an account on World. If you withdraw the wiTRY to your wallet, you will see your wiTRY balance show up in your wallet. Good reasons to hold it on World are to use it as collateral, or to leverage up on wiTRY (using Auto-Borrow, which borrows USDM to buy wiTRY), if you anticipate the yield from wiTRY being higher than the USDM borrowing rate on World.
Note: World is 100% onchain, so the technical detail of your question is just what the ERC20 contract is storing for an associated balance.