It's rarely a good idea to start a question with the words "Where is", "Where was", "Where did" (etc.)
"Serbia" and "Austria–Hungary" are both perfectly acceptable answers to this question. Some wags would even suggest that "in the head" or "in the chest" (whichever might be correct) would fit the bill, although I would argue that although you can be shot in the head (or the chest), I'm not sure you can be assassinated (or even killed) in either of those places.
If you're looking for "Sarajevo" as the answer, it would be far better to ask "In which city ... ".
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