According to the Pittsburgh Post-Gazette and other sources, Scott Cooper's "The Pale Blue Eye" was shot around Steel City and other parts of Pennsylvania (via Distracitfy). One popular location that Cooper and his team used was the Compass Inn Museum, which saw its historic blacksmith shop get transformed into an 1830s tavern, per Uncovering PA. In fact, newly-elected Pennsylvania Senator John Fetterman and his wife, Gisele, were reportedly used as extras for at least one scene inside the tavern.
"John's got this fantastic face, hulking figure," said Christian Bale in November 2021 at an early screening (via Philly Voice). "So I said to Scott, 'We've got to have him in the tavern' ... That's a face that fits the 1830s."
In addition to the Compass Inn, some other popular Pennsylvania locations that were used for "The Pale Blue Eye" include McConnells Mill State Park, Westminster College in New Wilmington, Moraine State Park, Penguin Court in Westmoreland County, Old Economy Village in Beaver County, and Allegheny Cemetery in the Lawrenceville neighborhood of Pittsburgh (via Uncovering PA).