From Wikipedia
The Queen of Sheba was a monarch of the ancient kingdom of Sheba and is referred to in Habeshan history, the Hebrew Bible, the New Testament, and the Qur'an. She is widely assumed to have been a queen regnant, although there is no historical proof of this; in fact, she may have been a queen consort.
The location of her historical kingdom most likely included part of modern day Yemen, and perhaps Eritrea and Ethiopia, as well.