I thought Neo had stepped into a Maxfield Parrish painting when he opened the door to the castle balcony.
Yeah, that makes for some cognitive dissonance at times – like when Morpheus tells Neo to meet him at the Adam Street Bridge, and then you see the rendezvous take place under the bridge, where you might ordinarily expect to find the Chicago river.
Even more interesting about the Adam Street Bridge:
When Neo is waiting to get into the car, you see a bunch of graffiti on the wall behind him. At one point you can see “bank is wrong.”
This was part of a very popular piece of graffiti seen around Melbourne, Australia in the late 1990’s. The entire piece reads: “Da World Bank is Wrong”
Assuming the Matrix simulates a period from roughly 1900-2000, it’s no stretch of the imagination that the structures and cities within the Matrix could have developed very differently in each iteration, and may not bear a lot of resemblance to what the cities are really like.
I remember reading during a discussion at the time of release that, when Neo opens the door there, and Trinity says something like “you know that road, you’ve been down there before” and it shows a shot of the road Neo’s looking at, that that road (in real life) leads to SEGA World in Sydney. I don’t know what the games/virtual reality/corporate blandness symbolism is there, but I thought it was pretty funny.
Hey, I work right next to the “Adam Street Bridge”.
aka, the Campbell St/Elizabeth St intersection, Sydney.
Isn’t it obvious? At one point, Link refers to Neo’s flying as “doing his superman thing.”
In other words, the city is Metropolis. 
No! Its all gothic and bleak, so it muct be Gotham.
Look at how fast Neo flies. If it takes him more then a minute to fly anywhere, it must be more then just one city. I don’t know of any cities in the 21st century that span hundreds of miles.