How to use np.save to save files in different directory in python?
From the (DOCS):
file : file, str, or pathlib.Path
File or filename to which the data is saved. If file is a file-object, then the filename is unchanged. If file is a string or Path, a .npy extension will be appended to the file name if it does not already have one.
This states that if the filename has a directory (ie: Path), it will be stored there. So something like this should do what you need:
import osnp.save(os.path.join('Check', 'train_set'), training)