"Please speak Japanese."
Is this basically "In Japanese, please"? I picture a student answering in English and the teacher correcting them.
で has a lot more uses than just location, it can indicate means of action as well. 日本語でお願いします literally means "please do me a favor by [speaking] with Japanese ("to speak with Japanese" isn't really correct English but bear with me lol), the same way that ナイフで肉を切った means "I cut the meat with a knife". The "speaking" is implied; if you want you could say 日本語で話してください and it'd mean the same thing.
で can be used for general contextual information, the tool used to do something, the means of travelling somewhere, etc. I've found that it's easier to get a bit of intuition for the particles than to actually explain them, although the best way to start is certainly to read definitions.