Among the Dasavataram or ten prominent incarnations of Vishnu, the last one, Kalki, has not happened yet. Hindu scripture provides many details about him, e.g. he'll be born in the end of the Kali Yuga, his father will be named Vishnuyasha, and he will be born in a place called Shambhala. Now I had always assumed that Shambhala was somewhere in North India, but I just found an indication that it may be somewhere else. Let me explain.
In the beginning of this video, the Sri Vaishnava lecturer U. Ve. Ananthapadmanabhachariar Swami explains the neccesity of the Alwars taking birth in South India, due to the fact that the Dasavataram were mostly restricted to North India (translated from Tamil):
In these ten avatarams, the really significant avatarams, that is, the ones that obtained a lot of praise: Rama avataram, Balarama avataram, Krishna avataram, before that Parashurama avataram, all of these really big avatarams, even Vamana avataram, all of these happened in North India only, South India did not have that honor. In South India, we have not seen Vishnu taking avataram from among the Dasavataram - [except for] one avataram, Matsya avataram; we have seen that Paramatma took Matsya avataram in Tamil-born Madurai in the Kritamala river. Similarly, the Puranas say that the avataram that will come last also, Kalki avataram, it is in Thirunelveli that Vishnu will take it. This is a subject where Pandits have differences of opinion.
Now the fact that Matsya avataram happened in the Kritamala river (which flows through Madurai) is described in this chapter of the Srimad Bhagavatam. But I'm interested in the part in bold. My question is, where do the Puranas say that Kalki will be born in Thirunelveli, a place near the Southern coast of Tamil Nadu?
On a side note, it's possible that Shambhala is in North India, but as a result of Kalpa Bheda Kalki could sometimes be born in Thirunelveli instead of Shambhala.