Welcome to the Modern Marvels pavilion and the world of tomorrow.
The Unisphere is prominent in shots of the 1942 Expo. Reference images may have been shot at the actual location in New York’ s Flushing Meadows (and as seen in Iron Man 2), but the actual scenes were shot on a soundstages in London.
Steve and Bucky take some dates to the New York Expo, and see Howard Stark showing one of the new “Modern Marvels”. Steve attempts to join the army one more time.
The exteriors and interiors of the Expo were filmed at Shepperton (and some at Longcross Studios) against minimal sets and filled in digitally, according to Cinefex #127 p68.
(Captain America: The First Avenger, 2011)