FileNotFoundException is likely due to the directory teste not existing, perhaps due to permissions.

Using :-

private void backupDatabase () throws IOException {
    String inFileName = "/data/data/com.gnd.example/databases/dados.db";
    File dbFile = new File (inFileName);
    FileInputStream fis = new FileInputStream (dbFile);

    String outFileName = Environment.getExternalStorageDirectory () + "/ example / backup / data.db";
    //<<<<<<<<<<< CODE ADDED >>>>>>>>>>
    File os = new File(outFileName); 
    if (!os.getParentFile().exists()) {
        os.getParentFile().mkdirs();
    }
    //<<<<<<<<<< END Of ADDED CODE >>>>>>>>>>
    OutputStream output = new FileOutputStream(os); //<<<<<<<<<< CHANGED
    byte [] buffer = new byte [1024];
    int length;
    while ((length = fis.read (buffer))> 0) {
        output.write (buffer, 0, length);
    }
    output.flush ();
    output.close ();
    fis.close ();
}

will create the directories if they do not exist (assuming permissions are correct)

Working Example :-

The following is a working app

AndroidManifest.xml

<?xml version="1.0" encoding="utf-8"?>
<manifest xmlns:android="http://schemas.android.com/apk/res/android"
    package="aso.so56843045backup">
    <uses-permission android:name="android.permission.WRITE_EXTERNAL_STORAGE"/>
    <application
        android:allowBackup="true"
        android:icon="@mipmap/ic_launcher"
        android:label="@string/app_name"
        android:roundIcon="@mipmap/ic_launcher_round"
        android:supportsRtl="true"
        android:theme="@style/AppTheme">
        <activity android:name=".MainActivity">
            <intent-filter>
                <action android:name="android.intent.action.MAIN" />

                <category android:name="android.intent.category.LAUNCHER" />
            </intent-filter>
        </activity>
    </application>
</manifest> 

• Note the <uses-permission android:name="android.permission.WRITE_EXTERNAL_STORAGE"/> (for earlier devices)

ExternalStoragePermissions.java

class ExternalStoragePermissions {

    public int API_VERSION = Build.VERSION.SDK_INT;
    private static final int REQUEST_EXTERNAL_STORAGE = 1;
    private static String[] PERMISSIONS_STORAGE = {

            //Manifest.permission.READ_EXTERNAL_STORAGE,
            Manifest.permission.WRITE_EXTERNAL_STORAGE
    };
    public static final String THISCLASS = ExternalStoragePermissions.class.getSimpleName();
    private static final String LOGTAG = "SW_ESP";

    public ExternalStoragePermissions() {}
    // Note call this method
    public static void verifyStoragePermissions(Activity activity) {
        int permission = ActivityCompat.checkSelfPermission(
                activity,
                Manifest.permission.WRITE_EXTERNAL_STORAGE);

        if(permission != PackageManager.PERMISSION_GRANTED) {
            ActivityCompat.requestPermissions(
                    activity,
                    PERMISSIONS_STORAGE,
                    REQUEST_EXTERNAL_STORAGE
            );
        }
    }
}

• If permissions not given then the directories cannot be created resulting in FileNotFoundException.

DBHelper.java

public class DBHelper extends SQLiteOpenHelper {

    public static final String DBNAME = "dados.db";
    public static final int DBVERSION = 1;

    public DBHelper(Context context) {
        super(context, DBNAME, null, DBVERSION);
        this.getWritableDatabase();
    }

    @Override
    public void onCreate(SQLiteDatabase db) {

    }

    @Override
    public void onUpgrade(SQLiteDatabase db, int oldVersion, int newVersion) {

    }
}

• A Very basic empty database (exception android_metadata table), enough to check backup.

MainActivity.java

public class MainActivity extends AppCompatActivity {

    DBHelper mDBHlpr;
    Button mBackup;

    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.activity_main);
        mBackup = this.findViewById(R.id.backup);
        mBackup.setOnClickListener(new View.OnClickListener() {
            @Override
            public void onClick(View v) {
                mDBHlpr.close();
                try {
                    backupDatabase();
                } catch (IOException e) {
                    e.printStackTrace();
                }
            }
        });
        ExternalStoragePermissions.verifyStoragePermissions(this);
        mDBHlpr = new DBHelper(this);
    }

    private void backupDatabase () throws IOException {
        FileInputStream fis = new FileInputStream (this.getDatabasePath("dados.db").getPath());
        String outFileName = Environment.getExternalStorageDirectory () + "/example/backup/" + String.valueOf(System.currentTimeMillis()) + "data.db";
        Log.d("OSFILEPATH",outFileName);
        File os = new File(outFileName);
        if (!os.getParentFile().exists()) {
            os.getParentFile().mkdirs();
        }
        OutputStream output = new FileOutputStream(os);
        byte [] buffer = new byte [1024];
        int length;
        while ((length = fis.read (buffer))> 0) {
            output.write (buffer, 0, length);
        }
        output.flush ();
        output.close ();
        fis.close ();
    }
}

Notes

• When first run after install permission will be requested for later devices (click allow).

• Backup has been named with a timestamp so multiple backups can exist.

• Database is closed, (this should cope with Android Pie+ wehere default is WAL mode, the close should empty (commit the changes) the -wal and -shm files, thus negating the need to backup the additional files).

Result

With respect to your crash:

• You have not created the directory, at least not via your code. Create a File object pointing to the directory that you want, then call mkdirs() on that object.

• You might not be holding the WRITE_EXTERNAL_STORAGE permission, including requesting it at runtime. See https://developer.android.com/training/permissions/requesting.

Other problems here include:

• You will not have the ability to write to your requested location in Android Q (by default) and Android R (for all apps). I recommend that you write to getExternalFilesDir() (found on Context) or use the Storage Access Framework.

• You are doing disk I/O on the main application thread. This will cause your UI to freeze while that I/O is occurring. Users may think that your app is broken. There are many ways to address this, though the Jetpack approach would be to use a ViewModel and LiveData.

• You are not arranging to get your file indexed by the MediaStore, so the user will not be able to see it in their desktop file manager. Use MediaScannerConnection.scanFile() to index the file.

• "/data/data/com.gnd.example/databases/dados.db" is the wrong path on many Android devices. Never hardcode paths. Use getDatabasePath() on Context to get the path to your database.

This sample Java app shows how a lot of this is done, in the context of a text editor instead of a database backup solution.

In general, I recommend that you put this project aside for a while and read an up-to-date book on Android app development. Most of the problems that I mention here are on topics that would be covered in a decent book on Android.