Over its entire run, the state where the series is set is never mentioned. In this episode, Benson tells the Governor that they flew 1900 miles to Washington, DC. The capital cities closest to that distance from DC by air would be Helena, MT, Salt Lake City, UT, and Phoenix, AZ. (The series is not set in Arizona, because in the very next episode, "Mid-Life Cowboy," the Governor and Katie fly to Arizona for a vacation at a dude ranch.)