Other than Boston, this game doesn't seem to do a very good job of telling you where you actually are. I had to look up the Wiki just to figure out the prologue took place in Texas. I thought they were just headed to some other settlement just outside of the Boston zone. I didn't realize they were heading across the country and didn't even realize we'd gone all the way to other cities up to this point.
texas is the only one that isn't stated as it's happening to my knowledge. the only way you'd know is when tess calls joel 'texas'
as for the other cities,
they're all stated or shown- usually through signs or locations. the capitol building is the statehouse in boston. there's a sign that reads 'pittsburgh', etc'