My location

See the following from Two-factor authentication for Apple ID - Apple Support

The notification might include a map of the approximate location of the sign-in attempt. This location is based on the new device's IP address and might reflect the network that it's connected to, rather than the exact physical location. If you know that you're the person trying to sign in but don't recognize the location, you can still tap Allow and view the verification code. If you're not the one trying to sign in, tap Don't Allow to block the sign-in attempt.

Set date and time zone automatically Change Date & Time settings on Mac - Apple Support

Allow apps to detect the location of your Mac - Apple Support

Note : you are signing with iCloud account , using 2FA the location will be approximate .

In the screen shot , the correct city should be shown .