When you use:
sudo -u postgres psql my_db
you run psql as the (Linux) user postgres, therefor the .psql_history file is in the home directory of the postgres user (e.g. /home/postgres/.psql_history), not in the home directory of the user you originally logged in with.
In some installations, the location of the postgres user’s home directory is /var/lib/postgresql. You can check this by running:
grep postgres /etc/passwd | cut -d ':' -f 6