How should I migrate this data into these Sql Server tables?

I don't see a need for SCOPE_IDENTITY or cursors if you approach the data in order of the parent/child relationship.

After loading your Location table you could create a query that joins Location with your source single table. The join criteria would be the natural key (is that the Name column?) and it would return the new LocationId along with the Boundary data. The results would inserted into the new Boundary table.

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