Well, yes, of course, since New York also has an established film industry. However, if an episode of Law & Order needs to have its characters travel to Ohio, they'll just find some location near NYC that can pass as part of Ohio, at least to the satisfaction of viewers who don't know or care what Ohio terrain really looks like. The principle is the same.
I do remember L&O doing scenes (and one three-part series of episodes) that take place in L.A. but they still filmed them in New York. After having to sit through all those shows like NYPD Blue, Without a Trace and CSI: NY (which have the opposite issue: With rare exceptions, they're all shot in L.A. but set in NYC), I thought: Revenge is sweet!
