While the exact location of the audition isn't publicly known, it likely took place at a Disney Channel casting call in Texas, where she was living at the time.
It's worth noting that Selena's rise to fame wasn't solely based on that one audition. She had previously participated in Barney & Friends, which helped her develop her acting skills and gain exposure.
It was her talent, charisma, and the opportunity presented by Disney Channel that led to her successful career.