Freak Show and Coven and Asylum and Murder House
One word: Massachusetts. Although AHS has taken place across the country, this state in particular has popped up, in one form or another, during almost every single season. In Murder House, the Harmon family relocates to LA from Boston. Briarcliff Manor, from Asylum, was also built in Massachusetts. Coven of course takes place in New Orleans, but there are plenty of references to the Salem witch trials, a famous piece of the state's history. And finally, in Freak Show, we learn that Elsa Mars used to work at a Boston circus. Even in Hotel there's a thread, albeit a tenuous one: the accent of Mr. March (Evan Peters) is referred to as a Boston Brahmin accent, placing his origin to the area around 1895.