It's called a "supertitle" [b/c it's superimposed on the screen, I guess?]and that's usually how it's indicated in the script:
E.g. from the script for TRAFFIC:
EXT. COLUMBUS, OHIO - DAY
The state capital of Ohio. It's an impressive building for
a city this size.
SUPERTITLE: COLUMBUS, OHIO - STATE CAPITAL
INT. OHIO STATE SUPREME COURT - DAY
In chambers striving for august, JUSTICES listen to a lawyer
MR. RODMAN, argue his case before the highest court in Ohio.
------------------------
And here's how Chris Carter did it for THE X-FILES MOVIE:
FADE IN:
EXT. SNOWSCAPE
A BLINDING WHITE SCREEN, under which we hear an ominous
low end Dolby THX Big Screen rumble. We're not in 19"
television land anymore, Toto. As the rumble builds, TWO
BLACK FIGURES appear on what now has resolved into a
distant horizon. From their movements we can shortly see
that the figures are men. Moving along a windswept ice
sheet in an otherwise featureless land.
A LEGEND appears: NORTH TEXAS, 35,000 B.C.
.....snip horrible things that happen to kids in present day who discover what's under the snow...
EXT. TOP OF A SKYSCRAPER - DAY
The chopper is banking over the side of the building,
preparing to touch down on the rooftop where FIFTEEN FBI
AGENTS in dark ID windbreakers are standing.
A LEGEND appears: FEDERAL BUILDING, DALLAS, TEXAS. ONE WEEK
LATER.
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