Anycast and Geolocation does not go hand in hand.
IP addresses does only have one single location assigned in such IP location databases, and as such, it would be quite impossible for IP space that is running anycast - running in dozens to hundreds of locations worldwide, to be showing any sort of useful location information ever.
On top of that it does also depend on the individual IP location database, and how they do things.
For IP space that is running anycast, I wouldn’t expect any other location than the headquarters of the company holding the IP space, which would be United States (US) in your situation, because that’s where Cloudflare has it’s headquarters.
Depending on how far you would go, you could try showing them a screenshot from your Cloudflare Dashboard or similar, that includes the indication of where the location-specific service is?
But even if you did that, they could still claim that it isn’t true, because the IP address still shows United States (US)?