Update: This was definitely filmed in Edmonton, at Pleasantview Park to be exact. Here, let John Candy’s son tell you more.
Here’s something fun: home video of an SCTV cast and crew softball game. Colour commentary provided by Rick Moranis. Interviews with Joe Flaherty, Dave Thomas, Catherine O’Hara, John Candy and an angry Eugene Levy. I’m not certain if this is in Edmonton, but it looks like it is. Play ball!