The desert is a lot closer than it seems.
The movie opens in the desert region of Afghanistan, where the convoy Tony Stark is riding in gets attacked. The Alabama Hills of Lone Pine, CA stood in for Afghanistan. This location is approximate and not meant to indicate an exact location.
As Tony makes his escape from Gulmira, he is approached by two F-15’s that he must evade. The special effect plates for this sequence were filmed in the skies above the Alabama Hills and Lone Pine according to Cinefex #114 p82.
(Iron Man, 2008)