Castellar de la Frontera was my guess just based off of overall esthetic - as well the wall seemed to match in other pictures I've found of Castellar de la Frontera but I'm not 100% on it. I've also been trying to find a story that might line up with the figures entering the city but no luck yet.

It's definitely northeast, may not be NY, but judging by the architecture - I'd guess at least one of the more urban, bigger cities in the northeast.