One model is a hyper-nova. At the end of it's life cycle, a massive star rapidly burns up it's fuel and falls into itself. The death scream of the falling star is the birth cry of the black hole. The result is a spectacular blast of gamma rays. Massive stars live short and brilliant lives, so they don't have time to move very far from their birth places. Scientists believe hyper-nova births will be found close to star forming regions, in the company of many other bright young stars.
A second gamma-ray burst model involves two neutron stars locked in tight orbit around each other. They slowly spiral inward, until, in a brief violent episode, they merge to form a black hole. In the billion years it takes for their orbit to decay, the pair of neutron stars can wander far from the original galaxy. If these produce the gamma-ray event, they will be found in deep, intergalactic space.
Video shows a massive stars imploading after burning up fuel, becoming a black hole with a burst of gamma rays. Second model shows artist concept of two neutron stars orbiting each other, then merging to become a black hole.