where was it filmed?

Hollywood, almost certainly; it was made primarily to stir up pro-British sentiment in American audiences early in the US involvement in WW2.

Greer Garson's biography, by Michael Troyan, says that it was filmed in Hollywood.

Exteriors were done entirely at the MGM back lot in Culver City, California

As the UK was already at war with Germany, it would not have been possible to go to the UK to film it. I think a similar problem applied for the film Rebecca - although it takes place in France (Monte Carlo) and England, they couldn't have filmed it there because Europe was already at war.

American films didn't really start shooting on location in Europe, Mexico, Canada for example until after the war - well I know duh especially during the war- but it had been considered too expensive before that and they had all the infrastructure in Hollywood. Most American films shot in America weren't filmed on location outside of Southern Calif studios and nearby exterior mountain/desert/ocean locations until after WW2.