Our accounting team is asking for a report that shows sales and cogs per location. On a invoice line item level, I see the locations, but is there a way to glean that information on a report. i don't seem to have line item location as a option in reports

The Item Fulfillment is where the COGS lives. The Item Fulfillment is not associated with the Invoice. you will have to start with the Sales Order if you need both COGS and Revenue. Or the Item Fulfillment if you only need COGS.