I just watched the scene again.

The picture that SC posted is the first time you see the car coming around the curve. The Empire State Building is clearly visible in a way that makes me think the scene is too far north to be Jersey City.

But when they pull over so Clemenza can take a leak and Paulie can get shot, the only thing visible in the backround is the Statue of Liberty, which would be too far south to be seen from exit 16W.