According to Spaeth (who seems to have read the story of the song's creation by Harris himself--there's a book written by Harris: After the Ball, New York, 1926), the site was Chicago.

"Harris had the gift of writing songs for special occasions, and After the Ball was actually ordered for an amateur minstrel show in his home town of Milwaukee. At a dance in Chicago he had seen a pair of young lovers go home separately after a quarrel and had immediately jotted down the line 'Many a heart is aching, after the ball.' On his return to Milwaukee he soon worked out the rest of the song, using the technique of having an old man tell the story to his little niece, which made the word 'pet' available whenever a syllable was needed to fill out a line." (Sigmund Spaeth, A History of Popular Music in America, Random House, 1948, p. 260)

~Masato