Choosing where the address comes out
The choice is the country the site will see, not the country you are in.
The right location is the one the destination site expects to see. To read a result the way someone in the United States would, the address has to come out of there, even if you are on another continent.
What you can choose
The order offers three options: United States, Europe, or whatever is available. There is no choice of city. IP location gets the country right and the city wrong often enough that selling a city would mean promising a number nobody can confirm.
The choice is stored on the service. Replacing an address respects the same group: someone who asked for the United States gets another address from there.