While Warhol's exact address changed throughout his career, he primarily worked out of The Factory which was located in various locations in Manhattan. It's highly likely that the Marilyn Monroe series was created at one of these Factory locations.
However, it's important to note that Warhol didn't always paint in his studio. He often used his assistants to create the silkscreen prints that he is famous for, and those assistants may have worked on the Marilyn Monroe series in other locations.