"I am coming with you to the Rhine."
Translation:Ich komme mit dir zum Rhein.
In fact, this thread from a while ago is super useful... https://forum.duolingo.com/comment/22892271/What-s-the-difference-between-zu-and-nach
"zu" is a preposition that signals the beginning of what is referred to as an "adverbial phrase". The noun object that comes after "zu" is not an object of any verb; it's an object of "zu" itself, and is thus indirect. Google "adverbial phrase" if you'd like a lesson on the structure in English. It applies similarly to German, you just have to remember which prepositions start one.