I think they're more by the capital :) Or maybe they make the arenas. Or you know where Katniss and Gale hunt? That area isn't part of any district so maybe there's more places like tht and they're located there :)
The arenas in the Hunger Games series vary in location. At one time, they could be in a dense forest and the next they are in a freezing wasteland. Sometimes they are also in the capitol. The arenas usually have traps and cunning ideas that are used for the entertainment of the Capitol audience.