Right now I’m in the middle of nowhere.
The film opens with a salvage team discovering the frozen remains of a WW2 aircraft with a surprising passenger. It’s inconceivable that this sequence was filmed anywhere but on a soundstage.
Based on the map displayed in Iron Man 2, the approximate location of where Steve Rogers was found is 67°24’35.0″N 33°23’49.9″W.
After defeating the Red Skull, Steve is forced to ditch the Valkyrie Bomber in the Arctic to save the Eastern seaboard from destruction.
Cinefex #127 points out that background plates for the Valkyrie Bomber’s approach to the United States and its ultimate crash site, were taken in and around Svalbard, Norway.
(Captain America: The First Avenger, 2011)