Fi and Jesse are in the Bahamas at the start of the show. The Bahamas rules of the road require vehicles to drive on the left, so right hand drive is common. Fi has a left hand drive VW kubelwagen style car and so do the cops. And in the chase, the cars drive on the right hand side of the road. Obviously shot in Miami to save location costs.
An establishing shot is shown around the 4-minute mark purporting to be a location in the Bahamas. It's actually Charlotte Amalie in St Thomas, USVI.