“There’s no job like ‘SNL.’ There’s no other job you go to where you’re like, 'Oh, this is like that live, late-night sketch variety-musical show that shoots in, whatever it is, 10,000 feet of sound stage.’ There’s nothing like it.”-Taran Killam
First off, we know it isn’t in New York City (which seems the obvious choice) because of this shot in the opening credits of season two, where we see the Statue of Liberty.
So, having eliminated this possibility, i trawled through all major cities of the Eastern United States and their skyscrapers, and came across this…
The first building is The Bank of America Plaza, in Atlanta. The second picture is from the most recent trailer. You can see that the shape of the buildings are very similar, and that the building to the left is present in both pictures
Albeit, slightly worse for wear in the second one.
The grid pattern at the top of both images is the same, although I employed google maps to give me a better angle
“She is the weirdest combo of impulsive tequila-drinking party girl and 80-year-old senator’s wife from Vermont. She’s something really special. She’s what America does best.” - Aubrey Plaza on Anna Kendrick