Would it be weird to have a bridal shower at the same place where the wedding reception is held. It would be in a different room.

Are you talking about on the same day? If you mean have the bridal shower in one room and the wedding reception in another room on the same day, yes, that would be a little weird. That would mean the bride and all the shower guests would not be with the wedding guests, which would be impolite.

If you mean at the same location but on different days, I see no problem with it. It's not like the reception location needs to be kept a secret.

No, its not even in the same room so I don't think its weird at all. Actually, it will help people find it before the actual wedding date. :)