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Probably Iceland or Greenland or some other country with very cheap electricity.

I think Bitcoin mining is such a big market opportunity that they could actually use the generated heat to run turbines that generate electricity, basically self-sustaining hydroelectric plant. The circulating water can be cooled down using heat exchangers already used for example in some Nordic countries. Good thing in hydroelectric plant is that you can combine it with solar panels to increase power output. Everybody loves environment friendly electricity, right...

You could set this up?

Theoretically it would work... It has been partially tested in some server farms already... (Sorry for late reply, toasted two PCs during last two months)

How did that happen?

Bad Windows update... Caused total lock up of the system at 100% CPU usage on all cores... Even power button didn't work. Had to unplug the power cord and after that there was no activity whatsoever.