Onion (Allium cepa L.) is one of the main agricultural commodities produced and consumed around the world. In the present work, for the first time, the volatile signature of onions from different geographical regions of Madeira Island (Caniço, Santa Cruz, Ribeira Brava, and Porto Moniz) was tested with headspace solid-phase microextraction (HS-SPME/GC-qMS) and chemometric tools, showing that the volatile signature was affected by the geographical region of cultivation. Sulfur compounds, furanic compounds, and aldehydes are the most dominant chemical groups. Some of the identified volatile organic metabolites (VOMs) were detected only in onions cultivated in specific regions; 17 VOMs were only identified in onions cultivated at Caniço, eight in Porto Moniz, two in Santa Cruz, two in Ribeira Brava, while 12 VOMs are common to all samples from the four regions. Moreover, some VOMs belonging to sulfur compounds (dipropyl disulfide, 3-(acetylthio)-2-methylfuran), furanic compounds (dimethylmethoxyfuranone, ethyl furanone, acetyloxy-dimethylfuranone), and lactones (whiskey lactone isomer), could be applied as potential geographical markers of onions, providing a useful tool to authenticate onions by farming regions where the influence of latitude seems to be an important factor for yielding the chemical profile and may contribute to geographical protection of food and simultaneously benefiting both consumers and farmers.