In Latin, the standard, common way to indicate "to", "from", or "at" a place is to use a preposition. This is very common in all periods, and in later eras, you can use this with any noun (buildings, neighborhoods, cities, islands, countries, whatever).
But with certain nouns (names of cities, islands, and a scattered handful of others like domus), there's another option. With these nouns, you can use a bare accusative for "to", a bare ablative for "from", and a bare locative for "at". And in the Classical period, this is the standard way to express "to", "from", or "at" with these nouns—phrases like ad Romam aren't used.
This is, in fact, the only place the locative case is ever used in Classical Latin. It was vestigial and rapidly dying out in the Classical era, which is one reason why later Latin prefers to use prepositions instead. That's why it's generally not included in declension tables—it's just so rare, it's easier to look it up when you eventually need it for a specific noun.