All messages that pass thru Biztalk are made of two components, the message context and the message body.
The context is a dictionary of properties. These can be promoted properties (less than 256 byte) that can be used for routing and non-promoted properties (any length).
Each type of adapter will add properties about the receive location etc, pipeline components will add properties (e.g. XML disassembler will promote properties and distinguished fields defined in the messages schema). You can declare and use your own properties by defining a property schema, and promoting the properties in a custom pipeline component or within an orchestration.
The question for you is how to use this information once the message exits Biztalk and is stored in your central location. If you are storing in a database, then you could add a column to the table to hold receive location information. If storing in a file location you could potentially use a dynamic send port to store in an directory appropriate directory tree. You could even use some other features of Biztalk to manage message priorities?
Can you explain a bit more about the problem you are trying to solve?