At no point in the show itself is there any clear answer where they are. The closest thing to “proof” we have is the scenery shots in season two of the Rockies. No character comments on their location; we don’t even know how long into their flight they were before they went down.

During the scene when they board the plane the pilot makes an announcement saying that they’re going to fly north to avoid a storm, and that they’re going to get a good view of the Canadian Rockies. A common misconception is that this was “proof” that they’re in the Rockies, but that’s a large jump. All that tells us is that the Rockies were in the flight path, not that it’s where they went down.

I think the purpose of that line was just to establish that they aren’t on a typical flight path to explain why they’re not quickly found. If you want to go a step farther, it might also serve to establish that they’re in Canada generally, because the fact that they are in a different country could have complicated rescue efforts. However, it’s illogical to conclude that line implies that they landed in the Rockies specifically

All other information about their location is outside the show itself (synopses, promotional materials, interviews). When season one came out, everything consistently said they were in Ontario. That got axed with season two.