Since you are talking about terminal velocity, you are including air resistance in this thought experiment. This means that there is another place for the potential energy of objects to go. When an object reaches terminal velocity, it means that every bit of work done by gravity ($mg\Delta h$), goes into heating up air instead of increasing the velocity of the object. So, an object that falls from a greater height will reach the same terminal velocity as one that falls from a lesser height, but it will heat up more air along the way.

Heat is a form of energy, so energy is conserved. The potential energy of the object gets converted to the kinetic energy of the object and the heat of the air it passes through.

Since you are talking about terminal velocity, you are including air resistance in this thought experiment. This means that there is another place for the potential energy of object to go. When an object reaches terminal velocity, it means that every bit of work done by gravity ($mg\Delta h$), goes into heating up the object and the air around it instead of increasing the velocity of the object. So, an object that falls from a greater height will reach the same terminal velocity as one that falls from a lesser height, but it will be hotter and have a greater amount of hotter air above it.

More technically, at terminal velocity, the decreasing potential energy of the object is accompanied by an increase in internal (thermal) energy of the object and air, so energy is conserved. The increase in internal energy is evidenced by the increased temperature of the object and the air it passes through