In an interview with collider.com, director Philip Kaufman says:

We built a little screening room, at the end of San Francisco, in an area called Dogpatch. There were some empty warehouses that the city let us use. There were some old abandoned offices that we moved into, and we had all of our people sitting in different offices. Our composer (Javier Navarrete) came from Spain and spent a lot of time there. The editor and the special effects people were there. It was this great, “Let’s make a movie,” feeling. All these guys were geniuses, really. The stages were unheated and we had the worst winter ever, in San Francisco. For scheduling, we had to shoot with all the rain and the cold, and keep the birds away from outside. It was under really difficult circumstances, but everybody was into it. We knew the movie we wanted to make, and it wasn’t that much longer than that, when we first cut it.

Apparently the frigid San Francisco winter (last year?) didn’t scare him away:

I’d love to work with the same group of people in San Francisco, who made the movie. It was a magical thing. There was such a good feeling. Peter [Kaufman] and I are trying to think about how we can keep this kind of filmmaking together, and not have to go to Hungary, Romania, Vancouver or Louisiana. We can do these movies in San Francisco. I did most of The Right Stuff in San Francisco, and Invasion of the Body Snatchers. I’m looking for something where we can do what we did on Hemingway & Gellhorn in San Francisco. We shot 100% of that in San Francisco.

Here’s hoping they can brave the cold and snow and make another one.

Hemingway & Gellhorn is scheduled to air May 28th on HBO.