I'll just throw out some of the few locations I've heard so far.  See if we can reach a consensus here, whilst I'm still working away at the game sheet and Zero-post.

So far I've heard:
San Francisco - Re-purposed, refurbished Alcatraz
Detroit
Cleveland
St Louis
Dallas
Minneapolis
San Antonio
Austin
Baton Rouge
Jackson, MS
Boston
Richmond
New Orleans - Zoldyck said he wants Mardi Gras to be a factor.  He wants beads and tits a-kimbo.
Hawaii
The Appalachians - Which, if I were going to make it work, would be some built up population somewhere nearby - so, probably Pittsburgh

As well as the ol' staples New York, LA and Chicago.

Just worth thinking about.  I'll drag this into the Discord as well, but yes, if you lot could settle on a consensus for city, whilst I'm working on the Zero post and Game sheet... that should keep us all on task.