There's some information about how they shot the video on the
paperthinwalls site, but nothing about where it was shot.
I'm glad I wasn't going nuts thinking it was a bit Donnie Darko, since that was deliberate.
It's kind of amusing the number of times you see someone saying how much they like to see a video that was filmed in one shot, when (i) It clearly wasn't, since a junction appears in the background after the panning bit in the middle with the characters at the side of the road and (ii) given that the "animals" disappear from behind her, some sort of trickery was involved in the shooting which suggests that multiple shots or overlayed footage was used.