Albany is a real city in California, United States of America where the fictional world of Pearls before Swine allegedly takes place. Stephan Pastis said he used to live in Albany, during the early days of the strip before he moved.
In the strip
Pig accidentally called 4-1-1 while reporting a fire at his neighbor's house. When the operator wanted a location, Pig revealed he lived in Albany. Interestingly, when Wee Bear, Rat and Pig drove to California by bus, they traveled through South Dakota and Utah. This opens the possibility that the Pearls characters are from Albany, New York, the capital of the state, though this is unconfirmed.
When Stephan Pastis made his reference to Albany in the May 15, 2002 strip, he received fan letters of fans confusing Albany, California to Albanies in their states. Most notably the Albanies in Georgia, Oregon, and the capital of New York were mistaken for the one Pastis mentioned.