The bundle assumes that you're using Doctrine to store your user entity. If you're using something else, e.g. your user entity is managed by an API, you have to implement a custom persister service.
The persister has to implement Scheb\TwoFactorBundle\Model\PersisterInterface.
As an example see the Scheb\TwoFactorBundle\Model\Persister\DoctrinePersister, which is provided by the bundle.
Register it as a service and configure the service name:
# config/packages/scheb_two_factor.yaml
scheb_two_factor:
persister: acme.custom_persister