I assume you have Peacock Premium Plus (ad-free), to get live local. What station you get is typically based on your IP address. Geolocation based on IP is often unreliable, especially as addresses can move around if you are part of a national ISP company (Comcast, etc...) In Peacock, on the profile screen, click the pencil icon below the avatar, you can then scroll down and change your ZIP code.
On the Roku itself, there is also Settings/System/Zip Code, which may or may not help.
