The credits on here (IMDb) say it was filmed in Edinburgh - but that looked like Banff Springs Hotel in Alberta to me, and on the credits of the show, it mentioned Alberta! I'm about 99% certain it was filmed in Canada. I thought, overall, it was an interesting and pretty good show. Has an interesting premise.
shareWell the whole first series was filmed in Edinburgh, I know for sure because I've just got back from there and have photos of several of the places she went to (the cathedral being the main one).
The second series was mostly supposed to be 'set' in America, in Denver, Colorado where her Grandparents live. However they went on a camping trip, which was still supposed to be in America, but I recognise that lake and the hotel too as being in Canada, so I think they just used that place and wanted to make you think it was the USA.