[ephbit]

It says ~ 2 kWh/kg (kg of iron) according to [1].

Assuming you can just store it as piles of iron dust (somehow shielded from air/oxygen) and assuming a gross density of 5 t/m³ for iron dust you'd get a volumetric energy density in the ballpark of 10,000 kWh/m³.

[1] https://en.m.wikipedia.org/wiki/Metal%E2%80%93air_electroche...