Based on the lore entries and in-game dialogue I've found, the Last City is most likely somewhere in South America. According to the Colony's lore tab, there are terciopelos outside the northern wall. Terciopelos are a type of pit viper native to Central America and South America. Assuming they weren't brought overseas to another continent, this would restrict the Last City's possible location to those regions. Luckily, with the other pieces of evidence I have found, there will be no need for such assumptions. Bear with me though because I'm gonna be pretty thorough with this. When retrieving some abandoned supplies in the EDZ during the Calling Them Home adventure from the Red War, Hawthorne mentioned how she "dropped everything and flew across the ocean to try and help" when the City was attacked. This rules out Europe, Asia, and Africa as possible locations for the Last City, since there isn't an ocean between Europe and Asia, Africa, or other parts of Europe. Later, during the Lost Cryptarch quest from year 2's Festival of the Lost, Amanda Holliday refers to the EDZ as being "across the pond" from the Last City, which further supports the idea that the City can't be in Europe, Asia, or Africa. On top of all of that, the lore entry titled Protector of Ghosts from the Ghost Stories lore book mentioned that one of the Ghosts Micah-10 had been escorting through Russia had resurrected Andal Brask, who then traveled across the Pacific Ocean in order to get to the Last City. The lore tab of the The Tall Tale exotic ship depicts his arrival. Again, this is just further evidence ruling out Europe, Asia, and Africa. Now, this leaves Australia, Antarctica, and the Americas as possible locations. Antarctica is ruled out by the Chromatic Fire lore tab, which establishes Antarctica as being believed to be a myth by Guardians. Now it's just Australia and the Americas. Back in Forsaken, if you talked to Amanda after Cayde's death, she'll have some lines of dialogue responding to his death. In the very beginning of this, she mentioned how her mom died crossing the Panama ravine when her family was traveling to the Last City. If they had a means to get to the City by boat or plane, then I doubt they'd be traveling across Panama to begin with. This effectively restricts the Last City's location to just the Americas. Given Amanda's accent, her family is likely from the US in North America. So crossing Panama would land them in South America, which aligns with the presence of terciopelos around the City's walls.