Simple answer to this; I was trying to figure out the same thing, and it just hit me.
GitHub IS a program installed on your computer, and when it runs, it WILL use threads and RAM. So that makes it a process. All you have to do is open Task Manager, click the Processes tab, find 'Github.exe', right click, Open File Location. Voila! Mine is in some App folder in Local, about 4 layers deep.