Search volumes are reported at the national level for whatever location is configured at the keyword level.

For example, if you're tracking a keyword with location targeted to Wichita, Kansas, the search volume for that keyword will be reported for the United States as a whole.

If you're tracking a keyword with location targeted to Helsinki, Finland, the search volume for that keyword will be reported for Finland as a whole.

If you're tracking a keyword with location targeted to a specific state/province, like Michigan (Midwestern state in the US) for example, then the same logic applies. The search volume will be reported for the United States as a whole.