They are in Roseroad
The Roseroad is a major highway in the Seven Kingdoms, second in size only to the Kingsroad. It connects the two largest cities in the realm, King's Landing and Oldtown, via Highgarden, the seat of House Tyrell.
Form heavy.com :
The battle itself takes place right outside of King’s Landing, before they crossed the Blackwater Rush. We know this because Tarly said to Jamie, before Dany attacked: “All the gold’s safely through the gates of King’s Landing.” Then Tarly spoke about needing to also bring the last of the wagons (carrying grain) over the Blackwater Rush.
Below is the map:
Wikipedia also say the same:
On the Roseroad
As the caravan approaches King's Landing, the Lannisters and Tarlys are attacked by Daenerys, riding Drogon and leading her horde of Dothraki.
So they are on Roseroad near to King's Landing.