You are in ...
... Portugal.
Step I: Geography
The items in the list describe the meaning of the names of various national capitals. At first, I tried to work my way through the list of capitals on Wikipedia, but then I found a page that explains the etymologies of these capitals, which was a huge help.
Anyway, the capitals are:
Asunción, Paraguay;
Paramaribo, Suriname;
Santiago, Chile;
Tbilisi, Georgia
Port Moresby, Papua New Guinea;
Praia, Cabo Verde;
Saipan, N. Mariana Islands;
Canberra, Australia
Managua, Nicaragua;
Guatemala City, Guatemala;
San Salvador, El Salvador;
Vientiane, Laos
Tokyo, Japan;
Pyongyang, North Korea;
Montevideo, Uruguay;
Ngerulmud, Palau
Harare, Zimbabwe;
Port Vila, Vanuatu;
Cairo, Egypt;
Sofia, Bulgaria
Bamako, Mali;
Juneau, Alaska;
Reykjavík, Iceland;
Ouagadougou, Burkina Faso
Georgetown, Guyana;
Phnom Penh, Cambodia;
La Paz, Bolivia;
Santo Domingo, Dom. Rep.
Malé, Maldives;
Dushanbe, Tajikistan;
Tashkent, Uzbekistan;
South Tarawa, Kiribati
(An asterisk on the items means that the capital is not one of a sovereign state.)
Step II: Odd-one-out and Time
Now to find the odd ones out in each group. The theme of the monthly challenge helps us here: We need to find the time zone of each capital.
We'll see that only three cities in each group are in the same time zone, so we've found the odd one out:
W: −4 except Tbilisi at +4
H: +10, except Praia at −1
E: −6, except Vientiane at +7
R: +9 except Montevideo at −3
E: +2, except Port Vila at +11
A: 0, except Juneau at −9
M: −4, except Phnom Penh at +7
I: +5, excapt South Tarawa at +12
Step III: Anagram
One thing we haven't used yet is the letters before each set that spell out "Where am I?". The time difference to Greenwich time for the odd one out in each group gives us an offset to these letters. For example, shifting W four places to the "east" gives us an A, because the alphabet wraps after Z.
We get AGLOPRTU, which we can anagram to the answer, Portugal.
Appendix: Worksheet
For what it's worth, I've pasted my "worksheet" below. It's the final state of what I had in my text editor while gathering information and trying to work out what goes on. It should be the same data as described in the steps above, but it's all in one place, which is nice, I think.
W Assumption -4 Asunción, Paraguay
Large River Inhabitants -4 Paramaribo, Suriname
Saint James -4 Santiago, Chile
Warm Location A * +4 Tbilisi, Georgia
H Admiral of the Fleet Sir Fairfax +10 Port Moresby, Papua New Guinea
Beach G * -1 Praia, Cabo Verde
Island of the Empty Voyage(*) +10 Saipan, N. Mariana Islands
Ngambri +10 Canberra, Australia
E Adjacent to the Water -6 Managua, Nicaragua
Forested Land -6 Guatemala City, Guatemala
Holy Saviour -6 San Salvador, El Salvador
Sandalwood L * +7 Vientiane, Laos
R Eastern Capital +9 Tokyo, Japan
Flat Land +9 Pyongyang, North Korea
I Saw a Mountain O * -3 Montevideo, Uruguay
Place of Fermented Mud +9 Ngerulmud, Palau
E He Does Not Sleep +2 Harare, Zimbabwe
Port Town P * +11 Port Vila, Vanuatu
The Victorious +2 Cairo, Egypt
Wisdom +2 Sofia, Bulgaria
A Crocodile River 0 Bamako, Mali
Québécois Prospector Joe(*) R * -9 Juneau, Alaska
Smoky Bay 0 Reykjavík, Iceland
Where People Get Honour and Respect 0 Ouagadougou, Burkina Faso
M King George III -4 Georgetown, Guyana
Mrs Penh's Hill T * +7 Phnom Penh, Cambodia
Our Lady of Peace -4 La Paz, Bolivia
Saint Dominic -4 Satnto Domingo, Dom. Rep.
I Big House +5 Malé, Maldives
Monday +5 Dushanbe, Tajikistan
Stone City +5 Tashkent, Uzbekistan
The Passage (of the Lagoon) U * +12 South Tarawa, Kiribati