The Engineers Club, 11 W. Mt. Vernon Place, Baltimore. "Veep" filmed most of an entire episode set in Helsinki, Finland, at the Engineers Club, according to S. Scott Clackum, location manager for the series. Production designer Jim Gloster won an Art Directors Guild Award for the Season 2 episode in part because he made the Engineers Club stand in for Helsinki so successfully. "We didn't shoot anything in Helsinki," Clackum said. "We had a little second unit shoot some snowy streets, but it was otherwise done here.