Mac location is wrong

It depends upon the context in which you mean this. If you mean in a web browser it is possible the web page has a place where you can do this. I know when I view the National Weather Service web site there is a place where I enter my zip code. . In general though, because Macs do not have GPS the location is based on the IP address for the connection the computer is using. This in turn can be hundreds of miles off if your service provider just refers to their corporate headquarters.

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