In python 3:

import elevation
elevation.clip(bounds=(12.35, 41.8, 12.65, 42), output='Rome-DEM.tif')

Does not write the file in the working directory, but in /home/user/.cache/elevation/SRTM1/Rome-DEM.tif

Current fix is to use an explicit output path. E.g. output='/home/user/Rome-DEM.tif'