Vancouver?

All of the "Mame" scenes were in Vancouver/Surrey BC, also the inside of the club where they worked.

"Why is he wearing that bandit hat?"... "His ears were cold!"

Pretty much all of the exteriors were filmed in Vancouver with the exception of the Hollywood Tour Bus. They even had fake planters with fake palm trees for full effect.

The "Walk/Don't Walk" signs are usually a giveaway that it's in Canada. Their signs use outlines of the hand and walking figure and the American ones are filled in.