I would say it's definitely somewhere in the New England area. I always wonder why they gave the characters Florentine names.

I caught the opening a while ago and Peter Lorre's character walks under a sign that says Revere, Silversmith. Whether this is a reference to the story being set in Boston I can't say. Paul Revere was an accomplished silversmith and maybe the sign was a reference to a craftsman who worked in his style. I can't remember the city ever being mentioned, or maybe it is and I forgot. It's always felt to me more like Philadelphia or Baltmore in this episode, but that's me.