As far as I know there is no place officially called Jackson's Dungeon; the two locations I mentioned are where I thought you could be.
The on-screen mini-map should show which way north is, and if you bring up the full map it will show where your character is and what direction they are facing.
I have the Xbox version of the game, so can not check your save. I can start a new game and get to Jackson's cellar fairly easily, but the other area may not be easy to clear without leveling first.
