If you don't know, then that isn't your problem. VPN, or Virtual Private Network is a way to hide your identity and location by routing your connection through the Internet to a location different from where you are, as well as encrypting your connection so it is safe to use with a public Wi-Fi. You would need to subscribe to a VPN service, then use the VPN settings on your phone to connect to it.
So let's put that aside, and deal with your original problem. When you see a different location with 2 FA how far away is it from your actual location? And who is your Internet provider?
Also, does the wrong location pop up at the same time as you are expecting to see an authentication code, or at some random time when you are not expecting a code?