The weather location is changed via the 'Add-ons' page (Puzzle symbol) found on your admin toolbar.
On this page, scroll to the bottom of the page to find the weather section (as seen below), click on "options" which should open up a separate box.
Here, choose the location you wish, and click on "Ok" to confirm your decision.
If you have a multi-team website, you will need to update this for each team on the site. To do this, just select each team in turn from the 'Add-ons' page dropdown menu, select the relevant location and save.