Chicago, or Evanston to be specific. I think I remember the same thing happening last year with the 4, although I know then that my phone sat in Anchorage for a day.
I wonder whether Apple ships the iPhones in master cartons and then has UPS logistics manage individual packing or if they're shipping ready to ship box in a box packages directly from China? Seems silly to ship extra air, but I'm not sure Apple would trust UPS to do the packaging either, but logistically, it seems like the former is probably what is happening.
They simply provide the batch tracking number, ship containers of master carton iPhones and have UPS (or in some cases FedEx) do the repacking - hence their sitting here in Louisville for a couple of days.