To ask where the location of a state is as part of a larger area, we can ask
Where in the US is Montana?
Montana is in the North of the US.
What about a question on the locations of two countries for example?
I mean a question the answer to which is:
"Canada is north of the US."
Where of the US is Canada located?
It is North of the US.
The form sounds kind of strange to me, though. Is there a better way to ask that question?