You could, I think, be forgiven for not having realised this – even if you'd watched the series. Wikipedia notes that "Ben refers to [the fact that the series is set in Cheltenham] in the final episode" – suggesting that this was the only time it was mentioned.
Wikipedia also lists several locations in and around Cheltenham that were used for outdoor scenes, including 30 Bournside Road in Up Hatherley, the exterior of which was used as the Parkinsons' house.
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