OK, your question is not about GFCI at all. You are asking about energy stored in magnetic fields. So let us make the question simpler and more basic, with one current and one coil.
Put the coil in a circuit where current flows, and we will induce a voltage across the coil ##V=L\frac{dI}{dt}##. Instantaneously power P=VI will add to the energy stored in the coil's magnetic field. Integrate P over time and you have the energy stored. Note that the energy is static unless the current is changing in time.
Now consider a coil with an established field, and we want to reduce the current to zero. But we will not be able to do that instantaneously. If we open a switch, ##\frac{dI}{dt}## will have a large negative value. That causes a large voltage; so large that it causes a spark to jump across the contacts of the opening switch. All the energy in that coil will be dissipated in that spark (plus resistive losses in the rest of the circuit). What I just described, is found in everyday life in the ignition circuits of an old fashioned car. It has a coil that stores energy. When we attempt to open a switch to break the current, that causes a spark in the spark plug. So the coil's energy goes to the spark.
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Energy is conserved at every moment in this process. The hard part is to do the accounting to figure out where the energy comes from and goes to. But rest assured, if we do our job correctly energy will be conserved, not just approximately conserved but exactly.
So in the above example, if I make the current go to zero not by opening a switch, but by a second wire carrying current in the opposite direction (as in that GFCI case), the physics remains unchanged, but the accounting of where energy comes from and goes to becomes more complicated because now we have the circuit of the second wire to include in the accounting. In your OP, you tried to think about the physics in the coil while ignoring the details of the circuits of those two wires. I think that is what led to your confusion.
In understanding concepts, it is usually best to begin with the simplest case, then add complications later.