If you're at home watching a video that is broadcast live and the video shows the Royal Albert Hall, I would say "it's a live video *from* the Royal Albert Hall." If you say "live video *in* the Royal Albert Hall," it would sound like the live video is being shown inside the RAH. In general, we say "live *from* XYX" where XYZ is the name of a place.... For example, "Live from New York, it's Saturday Night Live!"