Learn Spanish (Latin America): La ciudad está en el sur.

You would use dónde. The question would be ¿Dónde está la ciudad? (Where is the city?). You use dónde when asking about a static location. You would only use adónde if asking where something is moving to, and de dónde if asking where something is from.

Why do we use 'está' here instead of 'es'?

We use está (from the verb estar) because we are talking about a location. In Spanish, you always use estar to say where people, places, or things are located, even if that location is completely permanent like a city!

Why does 'ciudad' use the feminine 'la' when it doesn't end in '-a'?

While it is true that most feminine nouns end in -a, there are other feminine endings to learn. A very helpful rule is that Spanish words ending in -dad (like ciudad or universidad) are almost always feminine. Therefore, it is la ciudad.

Do compass directions like 'sur' need to be capitalized in Spanish?