Thanks to those of you who confirmed the Chicago setting! While watching I noticed the Billy Goat tshirt and the reference to the Palmer House and US 41.
Overall, I really liked this episode. The pacing and background scenes did a nice job setting a tone similar to the movie without feeling like an outright copy. I think I will really enjoy watching the relationship between Fr. Marcus and Tomas, the "apprentice". And I definitely didn't see the twist coming that it was Casey possessed, and not Kat. I enjoyed it and thought it was well done. Looking forward to more!