A zone - also known as a map - is a type of location. It is the 3rd level of the location type tree:

A zone usually comprises of several "areas". You can travel between zones using dropships or caves.

You can tell your current zone by opening the map window. You will see the zone name in the map header and highlighted in the location tree on the right side of the window. Note that the location shown in your radar is not the zone, but the area.

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