Unfortunately you can use athena with just one location.
To suffice your query you can actually use partitions for this. Your only limitation is that athena right now only accepts 1 bucket as the source.
So using your example, why not create a bucket called "locations", then create sub directories like location-1, location-2, location-3 then apply partitions on it.
That way you can do something like select * from table where location = 'location-1'
See this documentation for more information on Partitions http://docs.aws.amazon.com/athena/latest/ug/partitions.html
Hope this helps.