In the included material (liner notes, booklet, digi-book) on one of Joe's recorded live performances (album and/or DVD/Blu-Ray) the venue is stated to be in a city that doesn't actually exist.
1) Which album and/or DVD/Blu-Ray?
2) What is the stated name of the city?
3) What is the correct name of the city?
This first hint will narrow the field a bit. The song list includes at least one song that starts with the letters Slo__ _____.
I'll post the 4th letter in a while which will narrow things down further, and will keep giving hints as needed. Sorry to bog this down.
I'm going to speed this up. I'm feeling a little guilty for clogging the game up. Clue 2 is: E (aka Sloe Gin is on the song list). 3rd clue which will send you to the right place quickly for the answer (hopefully) is: All 3 answers start with the same letter.