The cloud is a popular term of where to store data and information today for computers. The big three cloud providers are AWS (Amazon Web Services), Azure (Microsoft) and Google Cloud Platform.
When you save your information on the cloud it is done by you the same as if you save the data and information on a hard drive or other storage device on your computer. The difference is it goes across the Internet to some magical spot when you save to the cloud versus being there on your computer and not needing an Internet connection. The neat part on storing on the cloud is that you can access the data and information from any computer type device (PC, phone, tablet, etc.) from anywhere as long as you have access to the cloud. The bad part on that is if you do not secure your data on the cloud anyone can access it from anywhere on the Internet.
The cloud is basically large data centers that the companies who provide cloud services have built. These data centers are located at lots of places around the United States. They look from the outsides like just another large building where companies store and ship lots of items other than a limited number of large door openings for tractor trailers.
Usually, the locations are unmarked so that fewer people will know where they are and to increase security. However, a search on the Internet will show you where many are located and also watching news you will see announcements by the companies where they plan to build. For instance, Amazon built a new one in Alabama in the last few years and one company is planning to build one at an unfinished nuclear plant there. Google has a large one they are expanding near Charleston, S.C., that has been in the news. AWS has several in northern Virginia.
The locations of the centers are chosen by stability of earth (that is, not on fault lines), water availability as many of the servers are often water-cooled (there is experimentation with putting the data centers in depths of ocean to better control temperatures and also avoid storms), and power being able to be consistently there.
In some cases, you can choose the geographic area of where the data center is when you rent space on the cloud. AWS is a strong one in this.
Basically, the answer is your data may be located anywhere in the world, however with laws and regulations on where certain data is kept, they do need to give the ability for you to choose general areas and countries it is stored in.