I have a 2009 AA5 SS and I am wondering if anyone knows where the fuel pressure check valve is located in the system. Thanks in advance for your help!

 

There is a check valve in the pump at the fuel tank. Not sure if there is any type of check valve in the HPFP(high pressure fuel pump) on the cylinder head.
The valve on the tank pump would not be a serviceable part. You would need to replace the entire pump to replace the check valve.

 

I guess we should ask "why?" on the off chance we could help.

 

fuel check valve can be sold separately ...
On ebay, I saw fuel pump repair kits - an inexpensive set of components that can bring your old part into a new state.
What is very nice - the repair kit is cheap. For example, I see a complete fuel pump for 9000 rubles + shipping. But the repair kit will cost a little more than 3000 rubles. Replacement is also not difficult, you just take out and discard the old organs and replace them with new ones.
But there are also difficulties: 1) not to be mistaken with the characteristics of the motor and the configuration of the connector; 2) make sure that the level meter is still functional, this piece is not included in the repair kit and buying this will double the cost of the repair kit.

 

This fuel pressure sensor.

 

More likely a EVAP purge valve problem. We will probably never know, details seem to be a secret.