I'm not sure why Alexa doesn't support that. Funnily I tried the same when we moved states and it didn't work. For a few weeks I appended location to my intent, "Alexa, whats the weather in X?"

One day complaining to my wife, and she asked Alexa how to change her location which Alexa provided a precise answer... goto Alexa app and update this setting. As others have pointed out the app is a requirement for Alexa anyway so I don't see why you are frustrated.