Episode #3.5 - S3-E5
Continuity mistake: Danny is on the range firing a chrome/silver Beretta pistol. The other agent on the range takes it from him, but when he is shown shooting it has changed to a black Glock. When he hands it back it has become a Beretta again.
Answer: The shots of the tube station closing and the shot of the concourse were shot at Marylebone station. There is also a shot of the tracks in which a sign is visible pointing to Southwark station and the Jubilee Line, and I suspect this is a stock shot filmed at Waterloo station.
Sierra1 ★