With all the talk of LaLa Land's producer's Mamaroneck roots , here is a little rundown of films and TV shows shot in Westchester recently, just so you don't think there isn't more to talk about "The Girl On The Train" : This psychological thriller owed its idyllic suburban exterior scenes to locations in Tarrytown, Irvington, Dobbs Ferry, Hastings-on-Hudson, Ardsley, and White Plains. "The Affair" Scenes from this tale about the destruction of two marriages were set in Yonkers, with prison scenes filmed at Westchester County Correctional Facility.