While searching for the location of the pirate booty, Vesco (Stacy Keach) says to Reddington that it was hidden in the actress's dressing room in the basement of the old theater...it's in New Orleans, a city that was built below sea level and surrounded by levees. There are no basements. The city also floods at the drop of a hat. In addition to the fact that the city is built below sea level, the ground that the buildings are built on is very unstable and prone to sinking.
When, at the party in the first scene, Red is approached by Brimley, whose character is portrayed by Teddy Coluca, Red greets him by calling him Teddy, the actor's actual first name. This is because Brimley's full name is Teddy Brimley. The character, coincidentally or otherwise, shares a first name with the actor portraying him.
Agent Keen and Ressler head to Truro, Nova Scotia to capture Robert Vasco. To avoid being captured, Vasco flees. After Vasco is told to head south towards the shoreline, Agent Keen is in the back of the alley running toward him. In the background an American flag is visible. Nova Scotia is in Canada.