Hi Stefano…first, which theme is this for? I will have to move this topic to that category if this is theme specific. However, the 404 page will be found in the theme files, so if you go to your dashboard and then to Appearance >> Editor, you will be able to find the 404 page file (404.php).
I do recommend using a child theme if you plan to make any changes to a core file of a theme because then any theme updates that come along, your modifications won’t be lost. So if you use a child theme, you would simply copy the 404.php file and put it into the child theme folder, then make your changes there.