It's primarily set in New York City, although sometimes in Indiana and South Dakota as well. There's a lot of New York in-humour. Like this one, from near the beginning of one of the earlier episodes (I don't feel like this is a spoiler).
Kimmy Schmidt (who spent 15 years in an underground bunker after she was kidnapped by a cult - you learn about this literally in the first scene of the first episode) is having a nightmare and starts choking her roommate in her sleep. She wakes up, and asks what is going on, to which her roommate responds, you tell me, and then follows up with this quote.
This isn’t the Chinatown bus! You can’t just choke someone who’s sleeping!
I've never taken the Chinatown bus. And now I'm thinking, I never will.