I think they shot mostly in Virginia, the UK, and Hungary. It was the narrative; they had some exposition they needed to get out and Laura Linney to get on screen. But still Knox's path in the film would've taken him a dozen miles south and east of Boston and well past Cambridge. The most generous reading of the movie would be that Knox dropped cannon off in Cambridge for deployment at Lechmere Point and Cobble Hill then brought the rest around to Lamb's Dam in Roxbury, but he's still going way out of his way. Bananas! (And we do have a reasonable idea of the path he actually took --
Henry Knox Trail - Wikipedia.)