Hi @David Wrafter Thanks for posting your query on Microsoft Q&A and sharing the details.
I was able to find VM resources with Intercontinental as location on my Subscription as well. Though I could not find any documentation on this but based on this pricing document below, I am guessing it could be related to Inter-continental data transfer.
Document for Reference:
https://azure.microsoft.com/en-us/pricing/details/bandwidth/
Can you please check for any intercontinental network traffic for your Azure resource and let me know.
I came across a customer case as well where the location showed as intercontinental, since there were charges indicating data transfers to or from another continent. The resolution was for the customer to block the IP addresses doing these data transfers with Azure Firewall.
If you think that's not the case with you, please open a billing support case via Azure Portal. A billing related support case is available as free to all Azure Subscription holders. Select Billing as the Issue type as shown below.
If you have further questions, let me know in the comments.