Put all of your valid locations into a sorted list. If you are planning on comparing case-insensitive, make sure the case of your list already is normalized.
Then all you have to do is loop over individual "words" in your input text and at the start of each new word, start a new binary search in your location list. As soon as you find a no-match, you can skip the entire word and proceed with the next.
Possible problem: multi-word locations such as "New York", "3rd Street", "People's Republic of China". Perhaps all it takes, though, is to save the position of the first new word, if you find your bsearch leads you to a (possible!) multi-word result. Then, if the full comparison fails -- possibly several words later -- all you have to do is revert to this 'next' word, in relation to the previous one where you started.
As to what a "word" is: while you are preparing your location list, make a list of all characters that may appear inside locations. Only phrases that contain characters from this list can be considered a valid 'word'.