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i thought it was in New York?
New York is mentioned in the show, so it can't be. From MOSB:

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Lois (agitated)

But why only Metropolis? It's twelve degrees in New York, there's eight inches of snow in Chicago and we're having a run on sunblock.
LabRat smile


Athos: If you'd told us what you were doing, we might have been able to plan this properly.
Aramis: Yes, sorry.
Athos: No, no, by all means, let's keep things suicidal.

The Musketeers