Where was "City Lights" shot?

It was shot in Los Angeles.

From Wikipedia...

During this part of shooting, construction was being done at Chaplin Studios because the city of Los Angeles had decided to widen La Brea Avenue and Chaplin was forced to move several buildings away from the road.

And IMDb...

Charles Chaplin spent $1,500,000 of his own money in making the film. A river was built at Chaplin's studio, which covered an area of five acres and cost $15,000 to construct. Two streets representing a downtown business section were also constructed at a cost of $100,000.

The set was a mad mix of cities, which could lead to the confusion. Again from Wikipedia.

Although the film was originally set in Paris, the art direction is inspired by a mix of several cities. Robert Sherwood said that "it is a weird city, with confusing resemblances to London, Los Angeles, Naples, Paris, Tangiers and Council Bluffs. It is no city on earth and it is all cities."

and

Weissman also compared many of the film's sets with locations from Chaplin's real childhood, such as the statue in the opening scene resembling St. Mark's Church on Kennington Park Road and Chaplin referring to the waterfront set as the Thames Embankment.

Both IMDb and Wikipedia list City Lights as having been shot entirely in and around Los Angeles, California. There is no indication that any part of it was filmed outside the state, let alone outside the USA. Given that Chaplin was a Hollywood superstar, I would expect that if he had travelled to India to film, it would have made the news on both sides of the Pacific.