I want to change the word “Tags” in WordPress to something else, but how?

The other answers here talk about changing how the translation works, which is a bad practice if there are instances of the word “tag” that you actually want to still be tag. What you likely want is to change the labels of the “tag” taxonomy.

function wpse301755_change_tags_labels( $args, $taxonomy ) {
    if ( 'post_tag' === $taxonomy ) {
        $args['labels'] = array(
            'name'          => 'Locations',
            'singular_name' => 'Location',
            'menu_name'     => 'Locations',
        );
    }
    return $args;
}
add_filter( 'register_taxonomy_args', 'wpse301755_change_tags_labels', 10, 2 );

That changes the labels of the taxonomy without changing how the word “tag” is translated.

There are more labels you can customise which you can see here: https://developer.wordpress.org/reference/functions/get_taxonomy_labels/

Depending on your use case, it may even be better to register a whole new taxonomy: https://developer.wordpress.org/reference/functions/register_taxonomy/