Southeastern Ukraine, or
South Eastern Ukraine
? What about capitalization? I saw various spellings. Which one is the most advisable? Don't close the question.
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When writing the name of a country or place which is prefixed with a direction, it is preferable to write the direction name together, without a hyphen followed by the proper noun.
However, when writing the direction alone in a sentence, you can use all small-caps along with a hyphen.
E.g: The dead strewn around the north-west and south-east walls.
For more reference read this article.
Coming back to your question, first one is incorrect, second one correct, and third one incorrect.