Oaxaca

"Oaxaca is in southern Mexico. It is bordered by the states of Guerrero to the west, Puebla to the northwest, Veracruz to the north, and Chiapas to the east. To the south, Oaxaca has a significant coastline on the Pacific Ocean." -Wikipedia the Free encyclopedia
Oaxaca is the main setting of the the main game and the nightmare DLC. As the quote above states it is in Southern Mexico. It is southeast from ground zero.