TLDR; sudo tail -f /var/log/ufw.log

The following applies to an Ubuntu server.

The log files are usually in /var/log, list them with:

sudo ls -l /var/log/ufw*

It should return a list of log files like the following. The oldest ones are compressed:

-rw-r----- 1 syslog adm 1383548 May 18 12:42 /var/log/ufw.log
-rw-r----- 1 syslog adm 6492572 May 17 06:24 /var/log/ufw.log.1
-rw-r----- 1 syslog adm 1270159 May 11 06:24 /var/log/ufw.log.2.gz
-rw-r----- 1 syslog adm 1459552 May  3 06:25 /var/log/ufw.log.3.gz
-rw-r----- 1 syslog adm 1263040 Apr 26 06:25 /var/log/ufw.log.4.gz 

Print and follow the end of the most recent log file with:

sudo tail -f /var/log/ufw.log