Even though the show is set in San Francisco, and some of the pilot was filmed in the city and on Alcatraz itself, the producers of the show opted to film the rest in Vancouver, mainly because of the much more attractive production rebates than California and the city of San Francisco could offer, much to the chagrin of the San Francisco film industry.
The trivia item below may give away important plot points.
In episode 9 the Warden rather effortlessly picks up a gold bar with one hand. This should've been more difficult given the size of the bar. The present average weight is 12.4kg and while they are claimed to be of civil war origin they look to be the same or even larger than present day bars.