Nowhere. The US would never accept one outside the US, and the rest of North America would never accept one in the US. If such a Union were created, it would likely have no official capital and several meeting places in various countries.
Couple questions, that could change that:
What is "North America" in this hypothetical Union? Canada & US or does it include Mexico, Central America, Carribean, Greenland?
How is this formed? It it started with just Canada and the US (with potential expansion South), then some place carved out of the Canada-US border may work, or the opposite if it started in Central America of the Carribean. Was it peaceful or through force and coersion? That could allow for Washington or some other American city.
In Any case, I doubt it could ever happen, the US would be just to dominant (far, far more so that German in the EU) for any other country to accept.