Is the 1st player allowed to choose 2 Investigators who are in the same location? This Mythos card is from The Lurker at the Threshold expansion.The card instructs these 2 Investigators to immediately exchange locations. I'm guessing the answer is no but I'm not sure.

I don't see why not.

Agreed with Tibs. Unless the card instructs you that player must be in different locations, it's a legit move

I concur.

As do I. Although it would be proper to still seem confused about your where... abouts...