fix #10342: put location into warning exceptions

as the warning systems own warn_explicit looses the information
we add them explicitly to the warning exceptions

src/_pytest/warning_types.py

@@ -158,7 +158,7 @@ def warn_explicit_for(method: FunctionType, message: PytestWarning) -> None:
     filename = inspect.getfile(method)
     module = method.__module__
     mod_globals = method.__globals__
-
+    try:
         warnings.warn_explicit(
             message,
             type(message),
@@ -167,3 +167,5 @@ def warn_explicit_for(method: FunctionType, message: PytestWarning) -> None:
             registry=mod_globals.setdefault("__warningregistry__", {}),
             lineno=lineno,
         )
+    except Warning as w:
+        raise type(w)(f"{w}\n at {filename}:{lineno}") from None

testing/test_warning_types.py

@@ -36,3 +36,11 @@ def test_pytest_warnings_repr_integration_test(pytester: Pytester) -> None:
     )
     result = pytester.runpytest()
     result.stdout.fnmatch_lines(["E       pytest.PytestWarning: some warning"])
+
+
+@pytest.mark.filterwarnings("error")
+def test_warn_explicit_for_annotates_errors_with_location():
+    with pytest.raises(Warning, match="(?m)test\n at .*python_api.py:\\d+"):
+        warning_types.warn_explicit_for(
+            pytest.raises, warning_types.PytestWarning("test")  # type: ignore
+        )