From comments and tags inthe various fan photos, yesterday, November 20, they filmed at the World Trade Center, on a train platform at one of the Metro stations and out on the street.
Many thanks to mrdopepic for sharing a photo on websta.
Many thanks to felipeespinal for sharing photos on websta here, here and here.
Update: Many thanks to felipeespinal for sharing an additional photo on websta.
Many thanks to Zephyr Zhu who shared three photos on his FB page from the shoot on November 17.