The show is set in the US, with part of the episode supposedly being in Bethesda, MD, however in the city shots, banners advertising an event have a .ca (Canadian) web address, which shows that the show is shot in a Canadian city.
When Annie is telling Auggie about her suspicions, she mentions that Elliot said, "We're halfway there." Auggie says, "Being Catholic isn't a crime." Annie says, "His file says he's Anglican." Anglicans observe Lent just as much as Catholics do, so that is not a sufficient distinction.