As far as the e-Passport is concerned, according to what our government says, the fingerprints are only stored on the chip.

 

This way, when you use an e-Passport reader, it matches your fingerprint with the one stored on the passport as a form of verification (concluding that you are who you say you are - the holder of the passport).
According to them, and our embassies, foreign entities never have access to "a database with fingerprints".
Of course if you are a doomsday thinker you could suspect a government from saving the prints the moment they are matched by the e-Passport gate but that seems a bit far fetched.