The privacy shield (VPN) hides your IP address, therefore hiding your location. To do this it routes your device's internet connection through the VPN's private server, rather than your internet service provider, so that when your data is transmitted to the internet, it comes from the VPN server rather than your mobile device. It's supposed to show a different location so that your real location is not disclosed.
To select your preferred location, go to your settings and tap Set preferred location (VPN). From there, you can select your location.
Keep in mind, that although the VPN may make it appear as though you are located elsewhere, most are aware that a VPN is commonly used, therefore don't question your location.