This is a question that gets asked from time to time on AskHistorians. Ragnar Lodbrok was a historical figure (or possibly one of several historical figures) who was documented in contemporary and later sources.

I've been looking for a good discussion of these sources, but I haven't really found one. The earliest reference to a person that could be a historical Ragnar is the Annals of Xantan. In the entry for year 845, Louis the German (king of the East Franks) and a certain Reginheri exchange gifts, and Reginheri dies of disease shortly thereafter. The Annals of St Bertin provide other details. They don't mention a leader's name, but it seems reasonable to conclude that Reginheri led the vikings mentioned around Paris. So the earliest sources say that Ragnar that was a northman (Nortmannus, An. St Bert.) or a pirate (praedo, An. Xan.) around Paris. Not much information for your purposes there.

Later sources become much richer in detail but less reliable for the purposes of historical reconstruction. The sagas of Ragnar Lodbrok and his sons were written roughly 500 years after the events they describe and are similar to historical novels like the Sharpe series than to historical studies as we think about them. It's also quite possible that they conflate several real historical figures into a single legendary character, similar to how Thomas Jefferson gets credit for writing the Declaration of Independence, but Richard Lee's earlier resolution for independence is largely forgotten.

These sources link Ragnar with activity in England in the 9th century. The actual contemporary sources, and above all the Anglo-Saxon Chronicle, do not mention a Ragnar in England, but he is traditionally recalled as the viking defeated in 845 and whose sons wreak vengeance as leaders of the Great Heathen Army that arrived in 866. If Ragnar was indeed among the vikings in England in the 840s, he would likely have been from Norway or Denmark, although Sweden remains a valid option, particularly southern Sweden which was then part of the Danish kingdom. ("Kingdom" is a loose term in this period.) So I'd say semi-accuracy is about the best you'll get as you choose a start point.

If I had to pick an area, I'd probably narrow my choices to the islands of eastern Denmark, the fjords around Oslo (NO), or the area around Bergen (NO). These regions all became centers of power during the late Viking Age and would be a good place to recruit bands of raiding northmen or pirates. Alternately, you might envision Ragnar as a weaker local squeezed out or marginalized by the leaders emerging in these power centers. In that case you might pick Lofoten (NO), Stavanger (NO), Gothenburg (SE), or Ystad (SE) as possible start points. Happy travels!