Great question. A lot of government agencies consider Kentucky as part of the southeast, but I would say that culturally Kentucky falls squarely into Appalachia, along with West Virginia, Tennessee, western NC, southwestern Virginia, and southern Ohio. I would also say that Kentucky has a pretty wide metro/rural split, with Lexington and Berea being very different places.
This is basically how I think of it. I know states aren't one thing, all the way through, but I categorize Kentucky with TN, NC, and WV. There are parts of OH that are basically KY, and NC gets much different further east, but generally, it makes sense. Definitely not midwest. Clearly not Southeast, despite UK being in the SEC.