While the exact location within the tri-state area is never explicitly stated, several clues point to it being somewhere in Connecticut. For instance, the show features a town called "Monotonia" which appears to be based on the real-life town of Monkton, Connecticut. Additionally, the characters often travel to New York City for events and outings, which would be a more convenient distance from Connecticut than New Jersey.
However, it's important to remember that Danville is a fictional location and its exact geographical placement is ultimately up to the viewer's interpretation.