All Salesforce orgs have a Salesforce instance. The instance is visible in the URL when you log on to your org. Depending on where you are located, the org will be assigned to one of the following locations: Americas (NA), Asia (AP), Europe (EU). There are several instances per location, for example EU11. Sandboxes are always on the CS instance, where the numbers vary based on your location. The complete list can be found on the Trust page of Salesforce.
To find out where your data is located, you first need to determine the instance your org is on. As mentioned before, you can see this in the URL when you log in. In this document provided by Salesforce is noted where the data is located for the available instances (as well as the back up location).