You can achieve what you want by using the $filter parameter in the api.
Use query parameters to customize responses
I worked out your example by adapting the emails example in the documentation, which also filters by a nested parameter and compares to a string.
Get all emails from a specific address received by the signed-in user. https://graph.microsoft.com/v1.0/me/messages?$filter=from/emailAddress/address eq 'someuser@example.com'
Therefore, for your use case, i.e. to only get calendar events with a location displayName equal to "East Conference Room", it would be:
https://graph.microsoft.com/v1.0/me/events?$filter=location/displayName eq 'East Conference Room'
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