Clues: Constant dialogue regarding how the Fallen are "at are walls." The only place we fight the Fallen is along the Cosmodrome wall. The Mailbot makes a comment about how it's "two hours to the wall, two hours back." A Grimoire card that references a Guardian having some kind of incident along the Caspian Sea. A couple pieces of concept art places the Traveler on a coast, but there's also some reference to the Traveler moving when the Collapse happened. The Twilight Gap map will let you see that the Traveler is surrounded by hills and/or mountains. You approach the Tower from the Southeast when you first travel there. Theory: The Cosmodrome is the expanded Baikonur Cosmodrome Complex, a real-life spaceport that was basically the beginning of human space travel. And when the Darkness came, it's where we all ran to try and escape, and died. That makes the Forgotten Shore the north shore of the Aral Sea. Look up pictures of it from today to see how similar they look. The Tower and the City are most likely in Eastern Europe, hidden in the Caucasuses. The Cosmodrome wall is the far edge of the City's wall defenses. Looking around the Tower will show you that the City does have a couple complete circle walls around it, but also has a series of wall sections (similar to the Cosmodrome wall) that aren't complete barriers. When you very first start the game, you start off on the "City side" of the Wall. You actually sneak into the Wall through an old portion of the spaceport complex, and every mission after that begins with you getting dropped off on the East side of the Cosmodrome wall. The wall itself runs roughly North-South, ending at the forgotten shore of the Aral Sea. Everything we do after the first mission is on the "other side" of the Wall, in Fallen territory, the beginning of the wilderness. This is why Ghosts pick all of us from among the ruins there. It's where most of humanity (and our exo protectors) died during the Collapse, and it's basically the no-man's land for our battle with the Fallen. Many Guardians, including the descendents of Awoken who heard the Traveler's call and left the Reef, have died all over again right where humanity fell.

Probably in America because we are the center of the universe.

Someone did a research on the surroundings and post it on reddit. It was featured Planet Destiny's community spotlight. I don't know which number Spotlight, you can try to find the video yourself from #1-17. But I remember it says it was located some where in South America I think.