To obtain a stream of just the names:
$ jq '.[] | select(.location=="Stockholm") | .name' json
produces:
"Donald"
"Walt"
To obtain a stream of corresponding (key name, "name" attribute) pairs, consider:
$ jq -c 'to_entries[]
| select (.value.location == "Stockholm")
| [.key, .value.name]' json
Output:
["FOO","Donald"]
["BAR","Walt"]