Where is the baseband information stored if it isn't
encoded into the sampling?

I'm not sure what you are asking.

If you have a 1 MHz carrier with 1 KHz of bandwidth,
you might do something like sample at 10 KHz so
your anti-alias filter has some room to work with.
Then you feed the signal into a FFT and throw away
the buckets that the filter didn't get rid of.

You often pick the sampling frequency so the FFT buckets
(after aliasing) come out on convenient numbers.

If by "baseband" you mean the raw signal between 0 and X,
there isn't any information between 0 and X-tiny in a typical
narrow band modulated signal.

If you are doing the aliasing trick, the anti-aliasing filter
has to block the baseband junk (noise) or it will get into the
A/D and confuse things. It's the reverse of the "normal" anti-alias
filter that gets rid of the noise above the baseband so it doesn't
alias down and trash your signal.

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