It’s not me shooting at you!
Tony leads Rhodey and the Hammer Drones on a chase under some New York freeways, sacrificing a lot of cars in the process, before leading them back to the Expo.
This is the most approximate location I can imagine this scene took place. The parking areas under the 105 freeway would have been available for shooting, while the structure of the pilings is very similar. Digitally manipulation would have taken place to make the freeway appear taller if this is the correct location, and it’s also close to Raleigh Manhattan Beach Studios.
According to Cinefex #155 the explosions of the cars were shot in the desert and the freeway supports digitally added later. Background plates shot under a real LA Freeway and this location is near the studio where the film was shot.
(Iron Man 2, 2010)