I think you could write that only if you're describing that duo is coming from the south, and is not simply *from the south (like born there or something). The -li suffix is used to describe nationality. I forgot what lesson this was in.
Very different meaning though. Duo is IN the south means he is in a southern region. Duo is TO the south means he is situated to the south of the speaker (or a landmark) even if he is only a block away. Like mapping where people are on a diagram.