In the Season 1 Episode of Supernatural entitled "Route 666", right after the flashback they give the location as Cape Geradu, Missouri. It should be Mississippi because the plates on the Mayor's car (around minute 17 second 8) are Mississippi plates and there's some culture references (the 2 old men eating crawfish when Dean and Sam were pretending to be with the deceased's insurance company) which are closer to Mississippi culture than Missouri culture.