Where?
The Russos said Captain America lived in a "branch dimension," so it's inherently possible that he created and lived in one before returning the last stone. It would preserve the timeline as the Ancient One outlined it. The interview portion I found doesn't mention Pym particles or any methodology, so I can only assume you found a better one.The Russos said that Captain America used the Pym particles to travel back to the main reality from the branch he created. I believe the wiki takes a similar interpretation. It's the one that makes sense with the rules ergo it's what I go with.
At the same time, McFeely and Markus wrote that Captain America is living in the main timeline, just in the background of everything else going on. That's way more consistent with what is happening in the film.