They'd probably build sets and stuff anyway and use a shot of New York at the start of each change of location to establish that that's where they are.
You have no idea how many Aussies come from an italian background. LOTS!!! There are so many Nino's in my year level that I've lost track of them. Practically half of my Year level is Italian, and they're all up themselves because of it. "oohh I'm Italian, I'm from calabria..." They all insist that they were born there, and that they are full blooded Italians, not aussies, and that they are going to move to Italy as soon as they are old enough.
Personally I hope that when they move there, they'll be referred to as "the australians". And the looks on their faces as they try to defend themselves.... priceless!!!
I actually don't care where the movie is filmed, as long as it is set in New York or nevada, and it has all my fave characters from around the 1946 war.