This is always asked when you call the station, whether to comment on a talk show (or “chat show” as they are named in other countries) or to request an album.
There are several explanations for that. One is to give you an identity that can be used on air to separate you from other callers, as others have explained. When I call in, I sometimes describe myself as “Joe in the car” as I drive regularly and not in just one city. But I hear “Ifeanyi from Benin” or “Jeniffer from Awka,” and it helps the announcer to give the caller a shout-out in a clever way.
Demographics are the second reason. Radio stations want to know who is calling in (how many males and females); it may be valuable information for the Program Director to know which programmes seem to appeal primarily to men, and which ones seem to appeal primarily to women, or which ones have a combination of both.
Similarly, knowing from where people call informs the management where the station is being heard (where the signal reaches) and where the station is famous (which cities have the most fans).
Still, radio stations like to get as much information about the audience as possible, so that’s why they ask the callers these (and other) questions.