Let's Play Hide and Seek!
Python 3.6, 466 398 392 bytes, minimax



x, y = 1, 1
w, h = [int(x) for x in input('Grid?\n').split('x')]


def split_factor(a, b):
    N = b-y
    W = a-x
    S = h+~N
    E = w+~W
    return max(1, N, W, S, E, N*W, S*W, S*E, N*E)


def move(a, b):
    *Z, = zip([a, x, a, a+1, x, x, a+1, a+1],
              [y, b, b+1, b, y, b+1, b+1, y],
              [1, a-x, 1, w+x+~a, a-x, a-x, w+x+~a, w+x+~a],
              [b-y, 1, h+y+~b, 1, b-y, h+y+~b, h+y+~b, b-y])
    return Z[['N', 'W', 'S', 'E', 'NW', 'SW', 'SE', 'NE'].index(d)]

d = ''
while d != 'y':
    print()
    splits = {(a, b): split_factor(a, b) for a in range(x, x+w) for b in range(y, y+h)}
    a, b = min(splits, key=splits.get)
    d = input(f'{a}{"ABCDEFGHIJKLMNOPQRSTUVWXYZ"[b]}?\n')
    x, y, w, h = move(a, b)


Input and output should be in the form shown in the example. This finds the square with the minimal "split factor"--which is the largest remaining area that can result from the player's answer (i.e. NW, E, y, etc.)--and guesses that. Yes, that's always the center of the remaining area in this game, but this technique of minimizing the worst-case will work more generally in similar games with different rules.

Unreadable version:

x=y=d=1
w,h=map(int,input('Grid?\n').split('x'))
while d!='y':print();s={(a,b):max(b-y,h+y+~b)*max(w+x+~a,a-x)for a in range(x,x+w)for b in range(y,y+h)};a,b=min(s,key=s.get);d=input(f'{a}{chr(64+b)}?\n');*z,=zip([a+1,x,a+1,x,a,a,a+1,x],[b+1,b+1,y,y,b+1,y,b,b],[w+x+~a,a-x,w+x+~a,a-x,1,1,w+x+~a,a-x],[h+y+~b,h+y+~b,b-y,b-y,h+y+~b,b-y,1,1]);x,y,w,h=z[~'WENS'.find(d)or-'NWNESWSE'.find(d)//2-5]