The set is authentic looking. I believe its one of HBO Studios, I think they used the same studio in a Sopranos Episode when there on the boardwalk ( I think its one of Tonys Flashbacks on Big Pussy)
I remember reading somewhere correct me if I'm wrong that NJ didn't want them filming the show or parts of the show there? Just like they did with Jersey Shore the one year
It's funny because of the states debt and onslaught of political corruption. Like they don't want a bad public image