According to Friedrich's comment, "Read :help startup and put the colorscheme in your user configuration dir."
Help content shows:
Places for your personal initializations:
Unix $HOME/.vimrc or $HOME/.vim/vimrc
OS/2 $HOME/.vimrc, $HOME/vimfiles/vimrc or $VIM/.vimrc (or _vimrc)
MS-Windows $HOME/_vimrc, $HOME/vimfiles/vimrc or $VIM/_vimrc
Amiga s:.vimrc, home:.vimrc, home:vimfiles:vimrc or $VIM/.vimrc
The files are searched in the order specified above and only the first one that is found is read.
RECOMMENDATION: Put all your Vim configuration stuff in the $HOME/.vim/ directory ($HOME/vimfiles/ for MS-Windows). That makes it easy to copy it to another system.
So indeed, if I'm running vimdiff from Git Bash, as there's Bash, vimdiff thinks it's in Unix, so gruvbox.vim shall be placed in $HOME/.vim/colors, i.e. C:\Users\UserName\.vim\colors.
Similarly, if I'm running vim directly from C:/Program Files/vim/vim82/gvim.exe, vimdiff thinks it's in MS-Windows, gruvbox.vim shall be placed in $HOME/vimfiles/colors, i.e. C:\Users\UserName\vimfiles\colors.
:help startupand put the colorscheme in your user configuration dir.