This feature, currently, not supported, sorry. So if you want to have it works like that, the only way is customizing code of the extension to allow this feature (add a parameter to the menu item to allow choosing locations)
This would be great if it can be added in the next release.
I did find how to add the param.
Changed components/com_event_booking/view/event/category/tmpl/default.xml and added protected $locations = array() in components/com_event_booking/view/event/category/html.php
but I cannot find how to change the sql query so only events in selected location are selected.
Also override doesn't want to work.
Added html.php in components/com_event_booking/view/override/category/html.php with class EventbookingViewOverrideCategoryHtml extends EventbookingViewCategoryHtml and components/com_event_booking/view/override/category/tmpl/default.xml.
Can you guide me further where and what I need to change?