The page you're looking for is in your projectfolder/resources/SAML.
There's an HTML page there which you'll need. However, this page is filled by the templates in the /templates folder of that directory. You'll probably need to edit these templates for your changes to be visible.
I've never did this myself, so I'm curious if this is the right direction.
project folder > resources > saml > error.html
I had to change the template “saml2-error-result” (projectfolder/resources/SAML/templates).