It's unusual to include a SubjectLocality which is why it isn't directly part of the SAML high-level API. However, you can update the SAML assertion prior to its transmission using the SAML notifications interface. The following example receives the OnSAMLAssertionCreated event and updates the SAML assertion.
public class ExampleSAMLObserver : AbstractSAMLObserver
public override SAMLAssertion OnSAMLAssertionCreated(string partnerName, SAMLAssertion samlAssertion)
samlAssertion.GetAuthenticationStatements().SubjectLocality = new SubjectLocality()
Address = "184.108.40.206",
DNSName = "abc.org"
Typically you register the event handler at application start-up.