Romney Defends Mormon View of Christ's Second Coming on EthicsDaily.com:
"Mickelson switched the conversation to the Second Coming of Christ. 'Your church says it is going to happen in Missouri,' he said.

'No it doesn't,' Romney objected. 'The church says Christ appears on the Mount of Olives and splits the Mount of Olives and appears in Jerusalem. That's what the church says, and then over a thousand years--the Millennium--that the world is reigned in two places, Jerusalem and Missouri. That's what the church says. The Second Coming, the arrival of Jesus Christ, our church says, is in Jerusalem. That's the church doctrine.'"

From lds.org: "Near the time of the coming of Jesus, the faithful Saints will build a righteous city, a city of God, called the New Jerusalem. Jesus Christ himself will rule there. (See 3 Nephi 21:23–25.) The Lord said the city will be built in the state of Missouri in the United States (see D&C 84:3–4)."

I stand corrected. I was led to believe The Second Coming of JC was to occur in St. Louis. It's actually on the western edge of the state near Independence. Glad to have that finally cleared up.