"There was that time in New Jersey, Sir." (referring to a time in
Edwin's past in which he was humiliated)
Manatugo Point, one of Whit's comrades in the Navy says, "If
it were up to me, I'd be in New Jersey eating pizza."
Since this statement was made out
of the country, there isn't enough evidence to prove that
Odyssey is or isn't in New Jersey. However, other episodes
indicate that Odyssey isn't in New Jersey (see above).