Is this sentence unnatural? No one person who was in the class can't answerd.
And if this sentence is unnatural, Where is it that makes this sentence unnatural?
Yes, it does sound unnatural. In English, we generally use at to describe specific objects that describe a location:
I arrived at the airport.
I arrived at home.
The letter arrived at the post office.
Locations, such as cities or countries, are generally referred to with in:
I arrived in New York.
I arrived in England.
The letter arrived in London.
That last one should answer your question :)