While Man of Steel and Batman v Superman: Dawn of Justice took audiences to Metropolis and Gotham City, Suicide Squad was Midway City, and Aquaman Atlantis, Shazam! will go a different way.
When we visited the set in Toronto along with a group of reporters last spring, we were told that the movie will take place in Philadelphia. While Wonder Woman had big chunks of the movie take place in real locations in Europe during World War I, there was no real base of operations (other than, arguably, Themyscira). So Shazam! is the first DC movie so far to take place primarily in a city that exists in the real world.
"We went with Geoff Johns's idea. I think he picked Philly because of Benjamin Franklin," director David F. Sandberg said, adding that in the comics, "it was Boston City at some point, but I think originally it was New York. It's not like it has to be Metropolis or something. It can be anything, really."
Franklin famously connected lightning to electricity in the 1750s; while he is sometimes incorrectly credited with "discovering" electricity -- it was already a known thing in the 1740s, although mostly used for parlor tricks and not really understood -- it was Franklin's famous "kite experiment" that proved lightning carried huge amounts of electricity. This realization led to the invention of the lightning rod, primarily to help people prevent house fires due to lightning strikes.
Shazam!'s working title was "Franklin," a nod to this connection.
After Shazam (then called Captain Marvel) was introduced to the DC Universe proper following the events of Crisis on Infinite Earths, he and his supporting cast took up residence in Fawcett City, a fictional town named after the publisher where the character originally appeared.
Not only does the movie take place in Philadelphia, but Fawcett City does not appear in the current crop of comics (also written by Johns), which are set in Philadelphia and closely mirror the versions of characters seen in the film.
The movie's smaller scale could have contributed to the decision, as well. Rather than a giant blue light in the sky threatening the universe, Shazam! seems to be mostly about the title character squaring off against a villain who threatens his hometown and family. The fact that there will never be a moment where Philadelphia is nearly destroyed, leaving thousands dead and millions injured, means less disbelief to suspend for the viewer.