Osaka.
How did he have gun?
In "Kendo Killing", Jessica is in Osaka, Japan (a really neat city...well worth visiting). And, you know what that means...someone's gonna die! In this case, the heir apparent to a corporation is murdered when he goes to practice Kendo...a martial art involving bamboo swords. Considering the gear they wear, it is very possible the murderer got the wrong guy, as your entire head is covered when you spar. But why....why commit murder?! And, of course, who is behind al this.
Like other episodes set abroad, the episode was filmed in the USA and some second unit took some footage of Osaka, such as the castle and the Dotonburi region (well known for its billboards and get food).
So is it any good? Yes. While not brilliant in any way, it's solid and enjoyable. I only saw one mistake in the show. One of the characters carries a handgun...and handguns are nearly impossible to have in Japan AND never would be carried by a foreigner in the country.