No, microphone was filmed in a place close to Greenwich I think, I'm not sure, but it isn't definetely St Paul...
Oh, and you can visit the place where she did the cover, I did a thread months ago...
http://www.ahsforum.com/forum/showthread.php?t=102010
Here it is. The street is called Bow Street

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And if you want to visit her hotel, Langham, it was... close to oxford street, I don't remember the street, I know there was sort of oscar wilde memorial plaque near the hotel, and a Mcdonald.