Louis C.K. chose the Celebrity Theatre in Phoenix for this special because George Carlin shot his special, On Location: George Carlin at Phoenix (1978), there.
HBO originally refused to let Louis C.K. release this special on his website for $5.00 like he did with Louis C.K.: Live at the Beacon Theater (2011). So C.K. refused let the special air on HBO. Eventually, HBO relented due to C.K.'s popularity.