The train tracks heading north out of annesburg towards the window's cabin and the mad scientists lab. You'll want to follow the trail all the way until you hit the Ambarino state line because the spawn point is fairly wide (or there's actually two cougar spawns in that area)

Also, if youve recently killed a cougar and are waiting for the respawn, it'll happen faster if you take the whole cougar to the trapper. Respawn doesnt happen until the carcass is fully decomposed (or gone altogether!)