They went to significant efforts to preserve the mystery of the Sierra Madre, hence the barely visible landscape, not defining how much time passes in-game to arrive there, etc. It can't really be in NCR territory because Dog would have to go through the Mojave Outpost to drag you there. I also doubt it's strictly inside Legion territory because then we'd at least see signs Caesar knew of it and/or tried to get in somehow, but it could be around the east or northeast otherwise (Ulysses knew its location, didn't he?). New Mexico would be an appropriate location but I'm going to rule it out because there's no way you, Elijah, Dog, etc. go all the way through Arizona to get there. So there's not enough data to say for sure, but if I had to, I'd bet on either a part of Arizona that isn't under Legion control, or northern Nevada (the latter being more likely).