Of course, Oz isn't really anywhere, being a made-up country, but what fun is that? L. Frank Baum wrote of Oz as being just as real as the United States, or whatever other country a reader might live in or have visited. So is it on our globe, and if so, where?
Unfortunately, there isn't really a consensus on this between books. If you look at the very first book, Dorothy is blown there in a tornado, and the Wizard recounts how he was blown there in a balloon. He seems to think that the desert is the only thing separating Oz from more familiar lands, as when he tells Dorothy, "But the first thing to do is to cross the desert, and then it should be easy to find your way home."
Indeed, it's possible from what we're told in the first two books that Oz could be located somewhere on the American continent, and that is indeed where Magic Land is in Alexander Volkov's books. Within Baum, though, we soon learn of other fairy countries surrounding Oz, and Dorothy reaches the Land of Ev in Ozma of Oz while voyaging on a ship to Australia. That suggests a location in the Pacific Ocean, and indeed that probably fits with the most other references, as I mentioned here and here.
How would a tornado have been able to cross the ocean, though? In future books, there are many other ways in which characters reach Oz or its neighbors from mundane countries. Sometimes it's instantaneous magical transportation, but other times it's less clear. Here are some other examples of the less clear transportation:
- Dorothy and the Wizard - The buggy carrying Dorothy and the balloon carrying the Wizard both descend into a fissure in the ground in California and end up in the Vegetable Kingdom, shown on the maps as below Boboland. Also, it may be relevant that the Braided Man, another resident of the surface who ended up underground, used to manufacture imported holes for American Swiss cheese.
- Nelebel's Fairyland - After being exiled from Burzee (shown on maps as being south of Oz), Nelebel sails eastward across the ocean and ends up in California.
- John Dough and the Cherub - A Fourth of July firework rocket takes John Dough to the Isle of Phreex.
- Tik-Tok - The Nome King somehow abducts the Shaggy Man's brother while he's working in a mine in Colorado. Whether or not magical transportation was involved isn't specified. Betsy Bobbin and Hank are shipwrecked while sailing somewhere unspecified (Greg Hunter's "Betsy Bobbin in Oz" says England) and wash ashore in the Rose Kingdom.
- Scarecrow - After being caught in a whirlpool in the Pacific, Cap'n Bill and Trot are rescued by mermaids and taken to a cave. From there, they travel underground to Pessim's Island, then through the air to Mo. The Ork, who is carrying them, says that the island on which Mo and Oz are located is "almost a continent," and later confirms that it's near his own home of Orkland.
- Grampa - After coming to life, Bill the Weather-Cock flies from Illinois to Oz during a storm.
- Gnome King - A Balloon Bird takes Peter Brown from Philadelphia to the Nonestic Ocean.
- Giant Horse - Benny falls in a hole in Boston and ends up outside the Emerald City. This is almost certainly a case of magical transportation, since there's no other suggestion in the series that Oz is underground, but since it isn't specifically identified as such I'm including this anyway.
- Yellow Knight - A rocket bores into the ground on Long Island and ends up in Subterranea. In order to escape there, Speedy uses the Parashuter, which bores another hole in the earth that ends in Oz.
- Pirates - Peter blows off a yacht during a hurricane near Cape Hatteras, and floats to the Octagon Isle. Later, King Ato fears that the airborne Crescent Moon will "shoot straight out of this Imagi-Nation."
- Speedy - After running into Loxo in the Quadling Country, Umbrella Island comes close enough to Yellowstone National Park for Speedy and Terrybubble to be blown there by a geyser.
- Wonder City - Within four days, Jenny Jump flies from New Jersey to Oz.
- Lucky Bucky - A boiler explosion blows Bucky Jones from a tugboat in New York Harbor to the Nonestic.
- Hidden Valley - The Collapsible Kite takes Jam from Ohio to Oz.
- Merry Go Round - Robin Brown and the horse he's riding are separated from the carousel and thrown through the air to Oz.
- Yankee - Tompy Terry reaches Oz via hurricane, and Yankee via space capsule. The dog proposes that Oz is on a level between Earth and space, and it's suggested but not thoroughly confirmed that he's right. When Jinnicky's Jinrikisha takes the two home, it passes South America before getting to the States.
- Enchanted Island - A tunnel, presumably in Pennsylvania, takes David Perry and Humpty Bumpty to Oz. They're aided by a wish on a magic button, but there's no obvious sign of instantaneous transportation. Also, the button itself somehow lands in Pennsylvania while taking Kapurta from the Nonestic to the sky above the Winkie Country, which is difficult to explain.
Another short one, Timothy Perper and Martha Cornog's "A Side View of the Nonestic Islands," has an American military expedition over the Pacific discover Oz with radar. As far as physical location goes, the Pacific does seem fairly likely, but there are other references that show transportation from the Atlantic to the Nonestic.
It's probably worth noting that many of the instances listed occur during severe weather or explosions, which could provide a cover or conduit for some sort of magic. Even weighing all the evidence, it's unlikely we'll ever find it without some sort of magical assistance.
As the Scarecrow tells his grandchildren in Royal Book, "Not on the map--Oz? Of course it's not. Do you suppose we want all the humans in creation coming there?"