The location of a Sitemap file determines the set of URLs that can be included in that Sitemap. A Sitemap file located at http://example.com/catalog/sitemap.xml can include any URLs starting with http://example.com/catalog/ but can not include URLs starting with http://example.com/images/.
URLs that are not considered valid are dropped from further consideration. It is strongly recommended that you place your Sitemap at the root directory of your web server. For example, if your web server is at example.com, then your Sitemap index file would be at http://example.com/sitemap.xml