From the Super Mario Wiki, the Mario encyclopedia
San Francisco is a city in California, located on the west coast of the United States of America. Along with Rome, Beijing, Nairobi and Moscow, it is one of the first five cities Luigi has to rescue from invading Koopa Troopas in Mario is Missing! The enemies have stolen one artifact each from the Golden Gate Bridge, the Coit Tower, and the Transamerica Pyramid; in the PC version, they have also stolen from Alcatraz and a Cable Car. To expel the Koopas, Luigi has to find the missing objects and return these to their respective landmarks.
Later in the game, the city is mentioned by a tourist in Rio de Janeiro. When Luigi shows him a cable car that the Troopas stole from Sugar Loaf Mountain, he says that "San Francisco doesn't seem quite so far, when I look at that cable car." In The Super Mario Bros. Super Show!, in an episode titled "Escape from Koopatraz", the location of Koopatraz is based off of Alcatraz Island.
Information from Mario is Missing!