This was most likely taken on a soundstage at the Famous Players-Lasky Studios located Selma and Vine in Hollywood, not far from where Harry Kellar lived at the time. Having recently read the screenplay, I'd say this is the apartment belonging to Houdini's character, Harvey Hanford, "star reporter on the morning Call."
Kellar visited the set of The Grim Game on more than this one occasion. The photo below, from the Billy Rose Theatre Collection of the NYPL, shows Kellar with Houdini on an exterior location, possibly while shooting the stationary airplane action atop Lookout Mountain in Laurel Canyon.
|Houdini and Kellar on location|
As always, thank you Arthur!