The film is loosely set in New York City. Filmed mostly in Buffalo, NY. One city shot during a transition is of PPG place a easily recognized building in Pittsburgh, PA.
A single shot of the Macy's Christmas Light Show (large Christmas tree in blue lights) in Philadelphia, PA is shown around the 18 min. mark. They are supposed to be walking in NYC. The light show has been around since 1956 in the original John Wanamaker Department Store, where the film Mannequin was filmed.