It appears that Jim and Delia have both moved to New York City in this story.  They had both come from little towns.  He was from the Midwest, she was from the South.

We are never actually told the name of the place where they live, but it is clearly in a big city.  It has to be a big city to have art teachers and music teachers and big laundries and such.

We can assume that it is New York City because we are told at one point that Joe goes and does some sketches in Central Park.