Albany is the capital city of the state of New York.
Billy Russo was abandoned by his mother, Carla Russo, outside of a fire station in Albany. Russo entered into the system and lived throughout various foster homes, before placed in the Ray of Hope group home.
By 2016, following the Clash of the Avengers, Thaddeus Ross would come to a train station in Albany where he thought Natasha Romanoff was hiding there. Romanoff would then call Ross and tell him he's embarrassing himself trying to catch her, before hanging up. Ross' men would then find a tracker and Romanoff's suit.