Where did the devils ask not to go?

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Out of the country

And he asked him, What is thy name? And he answered, saying, My name is Legion: for we are many. And he besought him much that he would not send them away out of the country. Mark 5:9-10

Into the deep

And Jesus asked him, saying, What is thy name? And he said, Legion: because many devils were entered into him. And they besought him that he would not command them to go out into the deep. Luke 8:30-31