Are there any clues about the "location" of Sovngarde?

Well, the answer to your question lies largely with who Shor really is. In other regions, he is known as Lorkhan. Lorkhan was brought about by Padomay, or Sithis, and in turn, brought Mundus (creation) into being by convincing the Aedra to create it. Mankar Camoran maintained that Lorkhan was a Daedric Prince, however this is not confirmed by other lore, and is somewhat odd, considering the Daedra were the Ancient Ones who refused to create Mundus. However, Daedra are traditionally allied with Padomay, like Lorkhan. If Lorkhan really is a Daedra, then it is almost certain that Sovngarde is his plane of Oblivion, comparable to Nocturnal's Evergloam or Hircine's Hunting Grounds. Most of the lore I have seen supports this explanation. As to why Sovngarde is limited to Nords: Lorkhan has long been seen as a supporter of man and enemy of Mer. Since Nords are the original men of Tamriel, so to speak, it is likely that Lorkhan holds a special fondness for them, and their entrance of change into the Mer dominated world. Lorkhan has long been represented as one who introduces change, representing Sithis' realm of chaos.

In conclusion, I do not think a concrete answer has been given in the Elder Scrolls lore as to who Lorkhan is, or what Sovngarde is. The clues seem to point to it as a realm of Oblivion, however.

As I read a few book from The Imperial Library I noticed, that a lot of people go through a "validation" Process if they die, in wich a god or some divinity decides whether the person is worthy or not to join their realm. In your case (Sovngarde) Shor decides, whether the Person is worthy. For an example:

According to the parchments, Rolf had spent his entire life searching for the entrance to Sovngarde, without success. He was returning home to his village of Skyrim when he was waylaid by a band of giants. Rolf fought bravely, but was quickly killed, and the giants proceeded to play catch with his head. Amazingly, all of this was seen by Rolf in ghostly form as he drifted away from the scene, soaring upwards into the heavens, where he finally arrived... in the magnificent hall of Sovngarde!

Another case would be the nordic werewolves. If they die Hircine Claims their soul for his Great Hunt.

All these "validations" would work like a "filter" for special people, and the remaining people would proceed to Aetherius

Another hint from TIL:

Sovngarde lies in the heart of Aetherius, awaiting the souls of departed warriors. (The Road to Sovngarde)

Wich would point to Sovngarde lying either in Oblivion, or the Mundus (specifically the border from Mundus to oblivion). Furthermore, it wouldn't make any sense for Shor to locate his plane in the one of his enemies.

HOWEVER

There exists the theory of the Amaranth, Godhead, CHIM etc. (i really suggest reading into this). This would roughly mean, that all the people that died would get deprived of their personality, and get reincarnated in the mortal realm.

Conclusion: I don't think, that there is a given Location of Sovngarde in the TES-lore, nor that my given theory is in any way the correct answer to this question... its more of a thought, that could help you build your own opinion.