Raymond Carver's "Cathedral" takes place somewhere around Connecticut, although the specific city and state are never named. This is seen clearly in the first paragraph of the story:
This blind man, an old friend of my wife's, he was on his way to spend the night. His wife had died. So he was visiting the dead wife's relatives in Connecticut. He called my wife from his in-law's. Arrangements were made. He would come by train, a five-hour trip, and my wife would meet him at the station.
(Carver, "Cathedral," misanthropytoday.com)
Since it takes five hours to get from Connecticut to the narrator's home, the narrator is probably located in any of four states: Massachusetts, New Hampshire, New York, or Pennsylvania. There is no real indication in the text exactly where the narrator lives, with only contextual clues here and there. They could even live inside Connecticut themselves, on the opposite side of the state from the blind man's in-laws. However, since Connecticut is specifically mentioned as being the home of the in-laws -- "they live there," instead of "we live here," the narrator probably lives outside the state.
My Prof. says it was in New York.