IIRC Governor's Island is not Liberty Island.... (where the Statute of Liberty is at) and I could see that as a final mat. In the middle of a Jazz Festival makes no sense from a security viewpoint.
I've also considered the possibility of Bethesda Fountain, or even Flushing Meadows, now that Shea Stadium is gone, but the other possibility is a indoor location, like say, Lincoln Center or somewhere else where they can film without being observed.
But the mention of two guys in dark blue shirts sure does seem like an obvious team ID.