I do not know of a way to disable that. They are ususally security notices when a new device signs in with your Apple ID and I would think most people would want to know that. I guess it is possible this could be caused by using a VPN.
This is assuming the texts are really from Apple and not somebody trying to phish for your account information.
As for the wrong location, see the section titled, "What if I don’t recognize the location shown in my sign in notification?" by clicking on the link for this support article 'Two-factor authentication for Apple ID' --> https://support.apple.com/HT204915