As for the job, sometimes it’s not you. I’ve had the same thing happen to me as Yo. I got rejection letters and then months later recruited by the same firms. Bizarre.
The reality is that there is a lot that you don’t see as a candidate. Maybe their budget got cut? Maybe they ended up hiring someone’s nephew? Maybe another candidate happened to have 10 years experience in the industry of their biggest client? Maybe they just like hiring people who played la crosse in college? Who knows. Try to not let it get you down.
As for location, look for opportunities where you want to live. If you have the savings, just move there and slum it in a tiny apartment until you land a job. Sometimes just being available gets your foot in the door.
Good luck!