1 Capital city says you're a large automobile (7)
wizard van, Harry — YEREVAN, capital of Armenia.
2 Work horse videography camouflages monastery (9)
As found by @NudgeNudge, this refers to worK HORse VIdeogRAPhy hiding KHOR VIRAP, a monastery.
3 Football stadium building hides coastal city (6)
footBAll sTadiUM buildIng yields BATUMI, Georgia, coastal capital of the autonomous region of Adjara.
4 Black Sea hub hides Caspian Sea hub (4)
BlAcK sea hUb hides BAKU, Azerbaijan, a Caspian Sea hub.
5 Mountain lake hears a number (5)
Lake SEVAN in Armenia is the largest lake in Armenia and in the Caucasus region.
6 Capital city in stabilisation (7)
sTaBILISatIon hides the capital of Georgia, TBILISI.
7 Continent's roof is confused rubles (6)
Confused rubles yields ELBRUS, the tallest mountain in Russia.
8 Black Sea city is British nasal sound in silicon (7)
Ukhum in Si yields the Black Sea city of SUKHUMI, capital of Abkhazia.
9 Volcano is heartless Kazakh and Uzbek (6)
Kazakh and Uzbek - Akh and uz = KAZBEK, a volcano in Russia.
10 Short Greece, magical land and US metropolis pronounce foul patella (6)
GR + OZ + NY = GROSSKNEE = GROZNY, the capital of Chechnya.
11 Confused sheik inside sheep skin (5)
Sheik mixed up and SHEepsKIn yields SHEKI, Azerbaijan.
12 Morgan Jackson conceals narcotic substance
morGAN JAckson hides GANJA, a slang term for cannabis and also a city in Azerbaijan.
It looks like you are in
The former Soviet Union. @snetch finds that more specifically, we are in the Caucasus Mountains. Thanks, @snetch!