In my head, keeping in mind I was 11 when this show started, I always assumed they were supposed to be at Great America (in Gurnee). That would be a perfectly reasonable day trip considering it’s only about 90 minutes from Port Washington and they had the American Eagle roller coaster which is similar looking to the one in the intro (1:44 in this clip), mostly due to them both being wooden coasters. Granted, I’m aware it’s not on the lake, but my 11 year old mind still assumed that was supposed to be the case. However, it always bugged me because you can tell the location is fake, regardless of where it actually is, because at the end, when they zoom out, you can see the lake shifting a bit.
Looking up the actual coaster they were on, it was actually a Great America, just that it was in California.
For my hometown, there’s not a whole lot of moves that take place in Milwaukee but weren’t also filmed, at least in part (beyond B Roll type stuff) in Milwaukee. Parts of Bridesmaids was set in Milwaukee. I see a handful of other movies set in, but not filmed in, Milwaukee.
For TV Shows, Step By Stem (as mentioned) as well as Happy Days, Laverne and Shirley, That 70’s Show and a few others were also set in or around Milwaukee, but not filmed here (at least I don’t think they were).
I’m actually, currently (as in, paused right now to type this) watching the new Dahmer miniseries which is set in Milwaukee, but presumably not filmed here. But the locations they mention are real. The bar he used to hang out at is still standing (no longer a bar, but still there none the less, with the same address). They mentioned his home address and I could drive there in a few minutes. IOW, these are real address, not whatever the location equivalent of a 555 phone number would be. [Sarcasm] I’m sure the owners of these places are thrilled about the renewed attention[/sarcasm]. His place of employment, Ambrosia Chocolate, while long gone, was a real place that, even before he made it famous, everyone knew about it since. You could see a it (or maybe a sign for it) from the freeway.
In A League Of Their Own, one of the other teams was the Racine Belles. I used to drive past the field where they played, but I don’t think anything was filmed in or around Racine.