I don’t think it is ever explained. However, it would seem logical that it is just another suit for War Machine that is stored at Avengers HQ for some other function. Tony still has the Hulkbuster suit for fighting Hulk so I’d imagine War Machine’s extra suit is stored there for some other function. This makes some sense as it is more heavy duty.
It’s worth noting that Rhodey was meant to have two suits in Avengers: Infinity War but this was cut down so this might also be a holdover from then.
"Originally, Rhodey was going to have two different armors in this movie. And then this ultimately got narrowed down to one armor, so the best elements in both armors were combined into one," said concept illustrator Phil Saunders in The Art of Avengers: Infinity War. "We really wanted to give him a much more advanced look than what he had had in the previous movie to keep up a little bit with the leap from the Mark 47 to Mark 50 for Iron Man.
"So I went with a much more sophisticated stealth geometry and breakup of the form language. I also gave him a far more extensive package of weaponry than he had ever previously had."
Comic Book, 'Avengers: Endgame' Figure Reveals War Machine's Armor