 The name of the city where the film took place is never mentioned.  However Michaels address that we can see on Selenes computer is an  apparently misspelled Hungarian address (it should be "Lakatos  József u. 39." while it is spelled as "Laktos Joszef 39 ut."  instead). You can also read "Eötvös utca", a street in the  historical downtown of Budapest, many times while driving by to the  secret interrogation place and there is an ad in the subway station  where the shooting takes place in the beginning of the movie  referring to Szentendre which is a small town near Budapest  (obviously left there as non