The story that Frank tells regarding the assassination of William McKinley is incorrect. President McKinley was indeed assassinated in Buffalo as stated, but the rest of Frank's story regarding the shooting and the search for the bullet in his body actually refers to the facts surrounding the death of President James A. Garfield.
In the scene in the park where Frank is hiding behind trees while Laurel times him, Frank stands three times by a black car. The license plate on that car changes from California to Manitoba and back to California.
When Frank and Laurel are sitting in the mall (food court), addressing envelopes to the next of kin he killed 'wrong' , we see a store sign in the background, Telus. A telecommunications company based in Canada, which does NOT serve the US, let alone San Francisco.