Does anyone know for sure. I seriously think it's in the U.S.
Here are some screencaps that might prove it too.

The street sign says EAST SUNSHINE IN & the mailbox says U.S. Mail.


Ayu "works" at Capitan Candy


Behind says American Hot Dogs


Ayu's dancer "works" at Texaco


Also the fact that Luis Hernandez was the director of the PV and he directed Ayu's PVs while she was in NY makes me think this was filmed in the US.

Ideas anyone?