Found a Korean website that is very handy when it comes to figuring out where to find Collections for each map (and even what components each Collection takes - to avoid traveling to the Capital to check).
Clickable Map of the Game World: http://toscamp.com/map/map3.7.php
Choose an area you want to find the collection for, example: http://toscamp.com/bbs/board.php?bo_table=tos_map&wr_id=10
You’ll see a chest icon where you can find the chest and the box with the Collection components.
If there are multiple chests in the map for any given area, the one that holds the one with the Collection is the one labeled 콜렉션