Sorry guys, I'm supposed to get emails when people post and for some reason that service turned off again. Nope, not Costa del Sol.

Yes, the first couplet mentions Nibelheim b/c heim is german for home and nibel sounds like nibble.

Yes, the second couplet is Wutai b/c wu sounds like woo and tai sounds like Thai.

No, the next stanza does not refer to Midgar. Like the rest of the stanzas, I made up puns, but this one is kinda tricky since you have to know about FFX. Even if you aren't familiar with that game enough, you should be able to figure it out from the rest of the stanzas, but if you figure this one out, you'll be like "oh, I know what to guess now."

No, again think of puns. The next stanza doesn't have to do with the temple of the ancients.

Yes, the last stanza does refer to the city of the ancients, also known as the forgotten capital. (Being forgotten is worse than death.) I guess this stanza was unusual since you weren't supposed to use puns to get the location.