Of course, Walter's fantasies take us elsewhere, but we'll get to that in a minute. Waterbury is a pretty big city in Connecticut. Though Thurber never mentions the state, just the city, we can take a pretty solid guess that he's talking about the only major Waterbury close to the Tri-state area. Also, a newsboy goes by shouting about the Waterbury Trial, which pretty definitively refers to the Waterbury Trial of 1938, which took place in CT.