Click the Start button, then Settings > Privacy > Location > Default Location > Set default and chose the correct location.
Generally, location is determined based on the IP address assigned to you by your ISP (as explained in the article linked below, other inputs may be used depending on the hardware available in your computer). This generally is the location where your ISP's server is based, but for various reasons, may be elsewhere.
For a TL;DR explanation, see https://support.microsoft.com/en-us/windows/windows-location-service-and-privacy-3a8eee0a-5b0b-dc07-eede-2a5ca1c49088