Activity from a country/region that could indicate malicious activity. This policy profiles your environment and triggers alerts when activity is detected from a location that was not recently or was never visited by any user in the organization. Activity from the same user in different locations within a time period that is shorter than the expected travel time between the two locations. This can indicate a credential breach, however, it's also possible that the user's actual location is masked, for example, by using a VPN.
Reference:
https://docs.microsoft.com/en-us/cloud-app-security/anomaly-detection-policy