What if we weren't anything but a single cell on a blade of grass, existing in an alien time zone? What would happen if said blade of grass was stepped on or crushed? Would the world we know decay around us? Perhaps it already has and is. ---Stephen King, The Dark Tower
The general consensus of the show is that they live in Springfield, Illinois. But based on multiple locations of multiple episodes, and the fact that every state in the U.S. has a Springfield; no one actually knows where they live.