The class gets autoloaded like any other class, there isn't a 'standard' place for it as such. So the question becomes, where do you want it to live?
The convention I usually follow in modular applications is to have most stuff in the modules, but register an app namespace and use application/models for 'core' type classes. So in your case, say your app namespace was Wordpress, you'd have:
class Wordpress_Controller_Action extends Zend_Controller_Action
{
}
and the file would live in application/models/Wordpress/Controller/Action.php.
To make this work you'll need application/models on your include path, and you'll want to init the standard autoloader with something like this (in your bootstrap class):
protected function _initAutoloader()
{
$autoloader = Zend_Loader_Autoloader::getInstance();
$autoloader->registerNamespace('Wordpress_');
return $autoloader;
}
alternatively you could setup the above in application.ini.