We didn't run into the problem... But I had the idea of house ruling it that if no location was open, it goes to a random location, that opens back up, a la Bizarre Love Triangle. Interestingly, if 2 Gholdakos are in a location, you can beat one and close the location, and the other is banished:
Land of the Blind wrote:
When you would banish a Gholdako, display it next to this card instead.