Ziklag was a town in the territory allocated to Judah but under the control of the Philistines at this point in time (see 1 Samuel 27:5–6). The death of Saul had removed the only obvious roadblock to David's return to Israel proper. David assumed that it was appropriate for him to go to another city in Judah, but he sought divine guidance to affirm or overrule his intentions.1
1 After this David inquired of the LORD, “Shall I go up into any of the cities of Judah?” And the LORD said to him, “Go up.” David said, “To which shall I go up?” And he said, “To Hebron.”