There is essentially no limit to the amount of categories in which you can add to WordPress, so this ultimately comes down to hosting and making sure you optimize the site, for example making sure you use a caching plugin to help with loading. There are useful tips on the WordPress site in terms of handling
high traffic volumes as well. There is nothing built into the theme by default which has locations populated already. Vantage is designed as a business directory, so there is no reason why it's not suitable for the project you mention as long as the
theme features meet your requirements for what you're hoping to achieve. Thanks.
