The show was actually filmed in Jacksonville, Florida.
The city in which the show was set was never mentioned. It was implied in several scenes that the setting was California. In one scene "Connie" is running on the beach at sunset with the sun setting over the ocean (I'm sure they filmed at sunrise for the effect).
The restaurant where "Connie" hung out was a Miami Subs franchise in Baymeadows.
The office lobby shown in one episode was the lobby of the Independent Life Tower in downtown Jacksonville (visible in several cityscape photographs taken for the Super Bowl).