It's...complicated. Basicly, some people think of the place that the Muppets live as Hensonville, this is also aided by the fact one of the newspapers in MFS was called, "Hensonville Gazett."
However, a whole bunch of other writers dissagree, thinking it strange that the poor Muppets could own/name a town, and assume the newspaper was just a fake placement as a reference in a movie the Muppets made.