tramp-histfile-override

tramp-histfile-override is a variable defined in `tramp-sh.el'.
Its value is

"/dev/null"

Documentation:
When invoking a shell, override the HISTFILE with this value.
By default, the HISTFILE is set to the "/dev/null" value, which
is special on Unix systems and indicates the shell history should
not be logged (this avoids clutter due to Tramp commands).

If you set this variable to nil, however, the *override* is
disabled, so the history will go to the default storage
location, e.g. "$HOME/.sh_history".

You can customize this variable.