The history is saved to ~/.nmcli-history file, separately for each connection.
The file uses glib key-file format. Each group is a connection UUID, keys are
integer numbers (history entry order), and values are the actual commands.
Example ~/.nmcli-history file:
[0bdc9852-2540-4e12-a605-5e65a9483772]
0=help quit
1=print
2=nmcli prompt-color 3
3=help set
4=q
[9142680d-3b87-4feb-ab1e-19e8762329ad]
0=eth
1=set ipv4.addr 1.2.3.4
2=quit
ed25c1a443