I went through the episode list and posted the ones I know from the top of my head.
Wild Bill Hickok & the Dead Man's Hand - Old West, USA
John Henry's Lost Hammer - John Henry was famous from African American folklore. I don't know what region of USA though it's from.
The Golden Cricket Cage of Khan - Legend talks about Kublai Khan, so it would be Mongolia (?).
Elizabeth I's Golden Ship - England
John Sutter & the Map to the Lost Gold Mine - Old West, USA
The Keys to the Alhambra - Alhambra is a real life location in Spain
The Helmet of Genghis Khan - Grandfather of Kublai Khan, so it would be Mongolia/Ancient China.
The Trojan Horseshoe - Hawaii, USA
Henry VIII's Great Seal - England
The Lucky Pig of Amelia Earhart - Primarily USA, although it talks about her attempt at a Transatlantic flight.
Ponce de Leon & the Lost Fountain of Youth - Florida, USA
The Helmet of Joan of Arc - France
The Medal of Sir Edmund Hillary - Mt. Everest, Nepal
The Golden Jaguar of Atahualpa - Inca Empire and Spanish Conquistadors
King Tut's Cobra Staff - Ancient Egypt
The Dragon Lady & the Blue Pearl - China
Pecos Bill's Lost Lariat - Wild West, USA
Robin Hood & Marian's Ladder - Nottingham, England
The Collar of Davy Crockett - Talks mainly about the Alamo in Texas
The Snake Bracelet of Cleopatra - Egypt
The Treasure of Anne Bonny - Caribbean's I believe? I don't remember this one exactly.
The Silver Horseshoe of Butch Cassidy - Wild West, USA
The Secret Battle Plan of Nathan Hale - USA
The Walking Stick of Harriet Tubman - Primarily Confederate states during Civil War
The Imperial Purple Robe of Empress Theodora - Byzantine Empire
The Stone Head of the Evil King - Deals with Greek Mythology, so Ancient Greece
The Electrified Key of Benjamin Franklin - USA
The Lucky Pillow of Annie Taylor - Niagara Falls, Ontario, Canada
The Enormous Iron Nose Ring of Babe - Legend talked about Paul Bunyan and Babe the Ox and I believe the location was Minnesota, USA
The Jeweled Necklace of Montezuma - Aztec Empire and Spanish Conquistadors
The Mask of the Man in the Iron Mask - France
The Two-Cornered Hat of Napoleon - France
The Silk Sash of Mulan - China
The Leopard-Skin Cloak of Annie Oakley - Wild West, USA
The Snakeskin Boots of Billy the Kid - Wild West, USA
The Missing Weather Maps of Charles Lindbergh - USA
The Broken Wing of Icarus - Ancient Greece
The Bonnet of Dolley Madison - She was the wife of James Madison. Primarily District of Columbia, USA.
The War Fan of the 47 Ronin - Japan
The Lion-Headed Bracelet of Chandragupta - India
The Secret Map of the Bandit Queen - USA
The Thornwood Gavel of Judge Roy Bean - Wild West, USA
The Snow Cone of Mt. Kilimanjaro - Kilimanjaro, Tanzania
The Smashed Printing Plate of Frederick Douglass - Civil War era, USA
The Mystical Spellbook of the Imperial Wizard - China, during the Tokugawa Shogunate
The Golden Spider Web of Robert the Bruce - Scotland
The Dried Apple Half of William Tell - Switzerland
The Royal Torque of Queen Boadicea - Iceni (Don't remember the country)
The Red Sash of Tokugawa Ieyasu - Tokugawa Shogunate, China
The Broken Trident of Poseidon - Ancient Greece
The Metal Beard of the Egyptian Queen - Ancient Egypt
The Mummified Hand of the Egyptian King - Egypt
The Lost Taj Mahal Turban of Aurangzeb - India
The Melted Head of Madame Tussaud - France
The Pearl Necklace of Gwalior - India
The Bullet-Riddled Handbag of Belle Boyd - Civil War, USA
The Dried Ear of Corn of Sojourner Truth - Civil War, USA
The Good-Luck Watch of Empress Eugenie - France
These are the ones that I remember from the top of my head. My history is a little rusty though, so I wish I remember more. It seems like the Wild West, USA, China, Ancient Greece, and France were popular countries for legends.
