At the start of Episode 5, we supposedly go to Hong Kong, where we see an average street magician,
Chan Ho Vin (later nicknamed 'Scorch'), performing magic tricks for a bored audience.
But 'Scorch' turns out to have pyrokinetic powers, and causes a ball of flame to appear in his hand.
A woman watching his act, introduces herself as Raina, and later kidnaps him into Centipede.
So where was this scene really shot?
After actually going to Paris & Stockholm for earlier scenes, I guess they drew the line
at Hong Kong, because they took the really easy way out for this scene, and shot it in
Los Angeles' Chinatown. (You may have noted the shop signs in English.)
'Scorch' is standing next to the "Via Cafe", which is at
451 Gin Ling Way, on the north side of the Old Chinatown Central Plaza,
between N. Broadway and N. Hill Street, just north of downtown L.A.
In the screencap above, the camera is looking west.
Here is a Google StreetView of Chinatown's East Gate.