The series was filmed in NY, but takes place in Chicago. Several episodes show characters eating pizza or having pizza delivered. The pizzas are never the Chicago deep dish style, but always round, flat New York style.
City views out office windows are clearly New York and not Chicago. Exterior scenes often include distinctly New York locations like Duane Reade drugstores.
The lawyers routinely tell authorities that they handle Lemond Bishop's "legitimate business". This is a mistake both because it's an implicit admission that Bishop has illegitimate business, and because there's not a hard and fast line between legitimate and illegal work for a drug kingpin like Bishop. What they would have said is that they handle his civil litigation and not his criminal defense.