I remember that picture, I can’t find it right now, but I don’t remember if Gillian was in NY or not. Maybe.
But really, professionally speaking, I’d be very surprised if they recorded together at the same time. Usually, actors record their part separately because it makes it easier to mix all the voices together in post-production.
I guess once it’s released (hopefully before), it won’t be hard to find out where they recorded. The studio will likely be credited.