I find that in a subject like this it is good to compare Christian speculations with Jewish speculations and see if there is any common ground. I found that both Jewish and Christian sources think the most likely location was present day Turkey.
For example here is a Jewish source I'm finding more and more useful for Jewish things:
“the most reasonable identification put forward is with Giges, also known as Gogo, king of Lydia, and Magog, with his country.”
Lydia is in present day Turkey.
Also a Christian view from Gills Exposition found here says this:
in Pliny (o), that the city of Hierapolis in Syria was called by the Syrians Magog; and they fancy the name of Gog is the same with Gyges a king of Lydia, whose country was called from him Gygea, or Gog's land, who was grandfather to Croesus; and which country came into the hands of Cyrus, and from the Persians into the hands of the Greeks, and so to the Seleucidae.
It would seem therefore that Gog, the King of Magog was a people that were attached to Israel in history, and therefore must have lived nearby. Yet even more importantly we should notice that Gog and Magog in ancient Rabinic literature always refers to the Gentiles who would opposed Messiah in the last days. In fact Jewish mystical interpretation (Kabbalah) superstitiously has a method of calculates numbers from Hebrew letters from the words Gog and Magog = 70. This means all the Gentiles. For details of what the Jews expected see this post.
Furthermore the New Testament also keeps up the theme. In Revelation we find Gog and Magog representing the Kingdom of the Devil about to wage war against God’s people. The only difference now is that Christians see themselves as spiritual Jews, so the historial meaning of Gog and Magog is very strong in terms of prophetic belief:
When the thousand years are over, Satan will be released from his prison and will go out to deceive the nations in the four corners of the earth —Gog and Magog —and to gather them for battle. In number they are like the sand on the seashore. They marched across the breadth of the earth and surrounded the camp of God’s people, the city he loves. But fire came down from heaven and devoured them. And the devil, who deceived them, was thrown into the lake of burning sulfur, where the beast and the false prophet had been thrown. They will be tormented day and night for ever and ever. (Revelation 20:7-10)
Conclusion: Maybe God has purposefully ensured that we have lost concrete history to truly identify this country, because we are no longer to take it literally. Rather we are to take it as representing the world during the last days.