Generally if you are using contexts as a boundary, then you put all the schemas belonging to a context under it.
Also by convention, if there isn’t a good unique name for a context (which there often isn’t) then it’s the pluralized version of its primary schema. You could just call your context Club if you want, but this can become confusing and it also makes it impossible to alias the schema within the context as they will have the same name. So the “normal” thing to do is this:

lib/my_app/clubs/club.ex
lib/my_app/clubs/member.ex
lib/my_app/clubs.ex

This way the directory structure mimics the module structure. Some people like to put the context file in the context directory, which is fine, whatever floats your boat!

Technically, though, you are free to do whatever you want! The generators push us towards certain conventions, but otherwise Phoenix doesn’t impose any conventions on us.