How to customize taxonomy archive template files for subterms?

Question

Strictly speaking, according to the Template Hierarchy, you cannot. Unfortunately

taxonomy-$taxonomy-$term-$subterm.php

is not provided for in default, so this file structure will not work. The best you can do here is

taxonomy-$taxonomy-$term.php

So for Thailand you will name your template as follows

taxonomy-location-Thailand.php

EDIT

Just to add to my answer, the file structure that you are looking for, it is doable outside the template hierarchy. You will just need to use the template_include filter hook to “redirect” WordPress to use that specific template

function wpse_template_include( $original_template ) {
    if ( has_term( 'Thailand', 'location' )  ) {
        return get_template_directory() . '/ taxonomy-location-Asia-Thailand.php';
    } else {
        return $original_template;
    }
}

add_filter( 'template_include', 'wpse_template_include' );