Somewhere in Brooklyn, I think. Also, the baby seems to be missing. This one was just kind of plunked by the side of a corner shop, where we bought beer before going to a Mexican restaurant.
Not as cool as the All-Devil Nativity Scene I saw in Tijuana a few years ago, but not bad. You can buy the dogs in the manger here (and some cats, too). It's not much of a stretch to imagine the caganers for these sets.