I have always lived in Iowa. Yes it does this each and every time I log in. The message says my Apple ID is being used to sign in to a device near Prescott, AZ. I also have 2 factor authentication turned on and I never get the verification code the first time. I have to click on "Didn't get a verification code?" Then I click on to receive it by cell phone. Then it comes through.
I was just wondering if you have had the following happen. I brought up Best Buy's website and in the upper right corner it gives you the city the store is in. It came up Prescott, AZ. Then I went into another website to change my email address and I didn't see my account. I put in to find a friend by name or email address. I put in my email address and the results came up "Jo in Prescott Valley, AZ. This is you". Just wondering.