I don't think they have overtly mentioned the name of the city, even in places where you would normally see it. (For example, if they wanted it known that the city was NYC, I'm sure Dyson would have announced himself as NYPD at least once.) However, they are also not trying very hard to hide the fact that the action is occurring in Canada:
- As mentioned in a previous answer, they have used distinctly Canadian terms like "statutory holiday", where an American English speaker would have said "federal holiday".
- At one point, they show an Ontario driver's license on-screen.
- In S01E02, Bo visits this pawn broker which is an actual pawn shop in Hamilton, just south of Toronto.
- This may be more localized, but I rarely see American pawn business call themselves "pawnbrokers"; its usually "pawn shop" or just "pawn", while "pawnbroker" seems to be more prominent in UK/Canada.
On the other hand, there are times when you can clearly see Hale's police badge hanging around his neck, and it doesn't look like any specific badges I could find for big Ontario cities like Toronto.
Most likely, they are doing what many other series do when they lack the prop/location budget to "fake" a real city, and it's set in some undefined, fictional town that is "somewhere near" Toronto. (Similarly, Eureka is set in a fictional town "somewhere in" Oregon, and Sanctuary was set in a fictional town "somewhere near" Vancouver.)