Here are the locations I've identified so far, organized by episode:
My First Adventure (Egypt 1908 / Tangiers 1908)
Passion for Life (British East Africa 1909 / Paris 1908)
Perils of Cupid (Vienna 1908 / Florence 1908)
Travels with Father (Russia 1910 / Greece 1910)
Journey of Radiance (Benares 1910 / Peking 1910)
Spring Break Adventure (Princeton 1916 / Mexico 1916)
Love's Sweet Song (Ireland 1916 /London 1916)
Trenches of Hell (Somme 1916 /Germany 1916)
Demons of Deception (Verdun 1916 / Paris 1916)
Oganga the Giver & Taker of Life (German East Africa 1916 / Congo 1917)
Adventures in the Secret Service (Austria 1917 / Petrograd 1917)
Espionage Escapades (Barcelona 1917 / Prague 1917)
Tales of Innocence (Northern Italy 1918 / Morocco 1918)
Masks of Evil (Istanbul 1918 / Transylvania 1918)
Winds of Change (Paris 1919 / Princeton 1919)