Windows 10 has added an update in the latest version allowing users to see where the photo came from. In the top-left corner of each lock screen there is now a short description of the location. Clicking the description opens a Bing search with the location's name.
In addition, the "Like what you see?" button now shows the location as well:
If you're unable to see the helpful tip, follow this guide from SuperUser. Finally you may try checking Wiki's article on Microsoft Spotlight which lists many of the previously used locations.
