The Gemara in Eiruvin 19a brings from Rav Yirmiyahu Ben Elazar who explains that there are 3 different entrances to gehenom. One entrance is located in the desert which swallowed up Korach and his family. The second location is in the sea,and the 3rd location is in Jerusalem.
The gemara then asks is there really only 3 openings? Dont we say that gehenom is in the valley of Ven Hinom and smoke rises between two date palm trees? The gemara answers that this entrance may be the entrance in Jerusalem and there would be no contradiction to the number 3.
From the reading of the gemara it seems that gehenom is very possibly inside the earth since Korach got swallowed up into the earth ,and the gemara says that is the entrance to gehenom of the desert.
In the Sefer Bais Yisroel Hashalem 8:pg.250 that near har hazeisim there is a house of worship of the Notzrim which stands right on top of the entrance of gehenom.
In Masheches Tamid 32 it brings from Tanna Devei Eliyahu who says that gehenom is in the sky,and some say it is beyond the mountain of darkness.
The Zohar Terumah 150 writes that there are 7 openings to gehenom.
All info can be found in Sefer Shaar Reuvein pg.427.