You can add a Zone and assign it to a lead. Zones indicate the location of the lead and can be classified in any format such as region, city, country, continent, etc.
To create a new Zone click on the More tab from the top menu and then go to Zones,
Click on Create Zone from the zones page,
Add details of the Zone in the pop-up box and click on Create,
Alternatively, you can also create a new zone directly from the lead details page. To add a zone from the lead details page, refer to this support article