I'm pretty sure I've seen it while walking through New Orleans, but I can't quite place it. I don't think it's one that's actually in the French Quarter, but I could be wrong.

There is a historic site to St. Anne's in New Orleans, the church burned down in the 1920s. A shrine was built over top of it, but it isn't really a church.

The church from the show is in Atlanta, Georgia along with all their other locations. The inside is used so much that it is most likely a in-house set.