Well, in the show, he broke out of the "Federal Detention Center Richmond VA" after killing 5 guards in the pilot episode. I'm watching the begining of the second episode, and they showed a brief aerial shot of the FDC before opening a scene.
For some reason, it looked very familiar to me. So I paused it, and looked at the complex as well as the surrounding area, and unless someone can prove me wrong, I'm 99% sure that it is the Westchester County Jail, the old stomping grounds of HFD219, on the Grasslands Reservation that is being used for the exterior shot. You can see the parking garage, radio tower, DEP Water Plant, etc.
