The state in which the series takes place is never identified by name, nor through any identifying characteristics. Characters refer to counties rather than parishes, thus eliminating Louisiana. Characters also speak of Texas, Arkansas, Alabama, Florida, North Carolina, Maryland, Virginia, and Mississippi, thus presumably eliminating them. We later learn that Forrest works in the Fifth District. If this refers to the Fifth Circuit of Courts, then the setting is most likely Georgia, as every other state in that district has been referred to.
D.A. Forrest Bedford:
If I have to stop this car somebody's going to regret it!