I've seen only one 'Lost Girl' episode so far (another one is in the queue, recorded last night), and although they haven't stated where it takes place, I think we can assume its Toronto location shots should lock that city into place. Maybe they want it to be Anywhere, USA, (Bo does mention that she was raised in the Midwest.), but it was easy enough to track down the place where they shot a major street scene to Queen West Street in Toronto.
I've seen it happen before with a Canadian show on American TV. I don't think they ever mentioned the location of 'The Listener' when it aired on NBC, but the small details branded it as being north of the border.
And I hope 'Lost Girl' remains a Toronto tale. With its succubi and demons, werewolves and ogres, it all has the feel of a Charles de Lint novel - and I was a big fan of his work during my urban fantasy days. In fact, I'd love to see Tamsin House in the background. ("Tamsin House" is the umbrella title for a series of de Lint's books, beginning with "Moonheart" in 1984.)