Hiroshima
Illinois Speed Press
Japan
Mississippi Sheiks
Oregon
U.K.
Nashville Pussy
Pussy’s not a geographic location; it’s more like a state of mind.
As someone who was recently in Nashville, I can vouch for this.
The Delaware Destroyers.
Teaxs Tornadoes
North Mississippi All Stars
Kentucky Headhunters
Oh! The original performers of “Goin’ Down:” The Alabama State Troopers
The Presidents of the United States of America
Long Beach Dub All Stars
Dru Hill (nearly enough. Shortened from Druid Hill, a Baltimore neighborhood)
The Miami Sound Machine
Ladysmith Black Mombazo
if another planet counts, how about The Mars Volta? Freddie Mercury?
Matt Pond PA
Texas is the Reason
Jets to Brazil
Jimmy Eat World (not specific enough?)
Motion City Soundtrack (I suppose that somewhere there is a Motion City, USA)
Sunny Day Real Estate (another stretch)
The New Amsterdams
Fountains of Wayne.
The band in my sig… 
OK, enough with place names.
Next up: Band names that mention food:
Bread
Two for U.K. pub rock lovers:
Eggs Over Easy
Bees Make Honey
Strawberry Alarm Clock
Strawberry Zots
Cream
Bread
The Jam
Bananarama
The Marmalade
Cake
Leftover Salmon
The Cranberries
…and how about some of that Nashville Pussy!
Meatloaf
Phish
Fiona Apple (yummmm…)
Chuck Berry 
Country Joe & the Fish
Hot Tuna
Red Hot Chili Peppers
Tangerine Dream
The Lemon Pipers
Vanilla Fudge.
Damn – hit “submit” too fast –
Strawberry Alarm Clock
Hall and Oates
There are still a couple of geographical bands that haven’t been mentioned:
The Leningrad Cowboys.
Styx.