Wikipedia's page on the Queen of Sheba provides the following information about the Queen of Sheba and the geographical location of "Sheba", and more:

"The Queen of Sheba (Ge'ez: ንግሥተ ሳባ Nigista Saba, Hebrew: 'מלכת שבא‎ Malkat Shva, Arabic: ملكة سبأ‎ Malikat Sabaʾ), was the woman who ruled the ancient kingdom of Sheba and is referred to in Habeshan history, the Hebrew Bible, the New Testament, and the Qur'an.

The location of the historical kingdom may have included parts or all of modern day Eritrea, Ethiopia, and Yemen...

Known to the Ethiopian people as Makeda (ማክዳ mākidā), this queen has been called a variety of names by different peoples in different times. To King Solomon of Israel she was the Queen of Sheba. In Islamic tradition she was Bilqis. The Roman historian Josephus calls her, Nicaula. She is thought to have lived in the 10th century BC (1000 BC-901 BC).

In the Hebrew Bible, a tradition of the history of nations is preserved in Beresh't 10 (Genesis 10). In Beresh't 10:7 there is a reference to Sheba, the son of Raamah, the son of Cush, the son of Ham, son of Noah. In Beresh't 10:26-29 there is a reference to another person named Sheba, listed along with Almodad, Sheleph, Hazarmaveth, Jerah, Hadoram, Uzal, Diklah, Obal, Abimael, Ophir, Havilah, and Jobab as the descendants of Joktan, the son of Eber, the son of Shelah, the son of Arphaxad, the descendant of Shem, another son of Noah.

Aharoni, Avi-Yonah, Rainey, and Safrai placed the Semitic Sheba in Southern Arabia in geographic proximity to the location of the tribes descended from their ancestor, Joktan. In addition to Sheba, Hazarmaveth and Ophir were identified. Semitic Havilah was located in Eastern Africa, modern day Ethiopia. Semitic Havilah (Beresh't 10:29) is to be distinguished from Cushite Havilah (Beresh't 10:7), the descendant of Cush, descendant of Ham; both locations for Havilah are thought by these scholars to have been located in present day Ethiopia.[1]

The multiple references to Havilah may indicate historical Semitic migration from the southern Arabian peninsula to the African continent. An alternative account would place the origins of the Semites and the ancient Israelites in Ethiopia. The ancient Roman historian, Tacitus, wrote that "many, again, say that they [the Israelites] were a race of Ethiopian origin" (Histories (Tacitus), Book 5, Paragraphs 2 and 3).[2] Thus, the Queen of Sheba would rightly be placed as a descendant of the Semitic Sheba people located in southern Arabia, but with more than likely origins from Ethiopia"...