Where, exactly is heaven? We don’t exactly know. God does not tell us. We do know that the Bible uses “up” language in reference to the dwelling place of God (see, e.g., Gen. 11:7; Psa. 14:2; John 3:13; Acts 1:9-11), but since “heaven” can also refer to the firmament—the sky, the atmosphere above us (Gen. 1:6)—it would not be wise to be too emphatic in declaring that heaven is above us. That could simply be God’s way of accommodating our frail human minds. We are simply incapable of really grasping what, and perhaps where, heaven is.
And corollary to that, since God doesn’t tell us where, speculation is pretty futile. Let’s not waste time on that.
So, what is the importance of our Father being “in heaven”? Wesley Hill suggests,
Heaven, as the Bible describes it, is not a far-off place in some distant galaxy. It is not a place at all in the sense we usually use that term, which makes it hard to talk about for people who cannot imagine existing without taking up space. Rather, “heaven” is a word that allows us to speak about God’s nearness and availability without pinning Him down to a specific geographical address.
Philip Keller explains, “The word heaven is derived from the old Anglo-Saxon word heaveon, meaning to be lifted up or uplifted. So it implies the thought of a place or a state which is above that of the commonplace condition on earth.” However, “God is a Spirit, able to be present anywhere and everywhere.” That means God is not limited, as we are, to a single specific location.
But the most glorious thing about this phrase in the Lord’s Prayer is that it demonstrates two of God’s attributes which should be incredibly precious to us. God is transcendent—He is far above us, but He is also immanent—He is always very near to us. Or, as Wiersbe says, “Transcendence means that God is uniquely and wholly ‘other’ than everything else, far above his creation in his being and in his activity. Immanence means that he has chosen to be near to those who trust him and seek to do his will, and he works in and through them.”
What does that mean for us? J.I. Packer explains it this way,
Since God is spirit, “heaven” here cannot signify a place remote from us which he inhabits. … when the Creator is said to be “in heaven” the thought is that he exists on a different plane from us, rather than a different place. That God in heaven is always near to his children on earth is something which the Bible takes for granted throughout…. Knowing that our Father God is in heaven, or (putting it the other way round) knowing that God in heaven is our Father, is meant to increase our wonder, joy, and sense of communication with him.
So, don’t think of God being in heaven “far away,” or “from a distance,” as one song puts it. Rather, understand that “the question of whereness does not apply to God. He is not a physical being; hence he does not have special dimension of location and extension.”
Indeed, “we can enter each day with the assurance that the Lord is on his throne above us, providentially guiding us and our circumstances, and that he is also with us, giving us the grace we need for each task and challenge.” Or, as another song puts it, “He’s big enough to rule His mighty universe, yet small enough to live within my heart.”
 But if you feel absolutely compelled to study it, check out some of the books on heaven by, for example, Randy Alcorn, Billy Graham, Joni Eareckson Tada, and others.
 Wesley Hill, The Lord’s Prayer: A Guide to Praying to Our Father (Lexham Press, 2019), p. 16.
 W. Philip Keller, A Layman Looks at the Lord’s Prayer (Moody Publishers, 1976), p. 28.
 Ibid. p. 29
 Warren W. Wiersbe, On Earth as It Is in Heaven (Baker Books, 2010), p. 29.
 Ibid., p. 30.
 J.I. Packer, Growing in Christ (Crossway Books, 1994), pp. 167, 168.
 Julie Gold, “From a Distance” (Sony/ATV Music Publishing).
 Millard J. Erickson, Christian Theology, one vol. edition (Grand Rapids: Baker, 1987), pp. 313-314).
 Wiersbe, p. 30.
 Stuart Hamblen, “How Big is God” (Hamblen Music Company).