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I think this present day shot of the Minneapolis Skyline, next to the vidcap you posted, practically confirms it: Minneapolis, Minnesota Skyline | Stock Photo | iStock

Thanks guys! I asked around in Quora, silly me, it was obvious I'd get the answer here in Interference ;-)

According to that thread both the carnival and the snow scenes were shot in Sweden.

City scenes definitely are not Tokyo. So far Minneapolis sounds like the correct answer. They did mention that Bono's scenes by the windows were shot in Tokyo, though that might be a lot harder to prove ;-)

Found a thread in atu2.com where Minneapolis is mentioned I googled for Unforgettable Fire video and Minneapolis and came up with a four year old thread in atu2.com [1] where they discussed about the location place. Several comments about it being filmed in Sweden (correct, for some of the...

I've heard it could be either Chicago or Vancouver, but I don't seem to find a conclusive answwer :-)