Umbra's location depends on the context of the game you are referring to:

• In The Elder Scrolls IV: Oblivion , Umbra is a Wood Elf warrior found inside the Ayleid ruin of Vindasel, which is southwest of the Imperial City. She wanders in the final room of the ruin and wields the powerful Umbra sword. The ruin is east along the road from Clavicus Vile's Shrine and west of Pell's Gate and the Old Bridge

• In Sea of Thieves , Umbra is a character known as the great Chronicler of the Sea of Thieves. She was originally at the Lagoon of Whispers but due to hostile Skeletons, she relocated to Sanctuary Outpost, where she can be found just south of the Tavern

So, if you mean Umbra in Oblivion, look in the Vindasel ruin southwest of the Imperial City; if you mean Umbra in Sea of Thieves, find her at Sanctuary Outpost near the Tavern.