Theory: Severance takes place in Glasgow

The Lumon office building is actually a disguised Glasgow apartment block. This explains why it’s so cold all the time and Helly has red hair. Everything that doesn’t seem like Glasgow is in fact a hallucination brought on by the characters trying to quit heroin cold turkey.

A big clue comes when Milchick says “remove the Glasgow block now”. He’s a construction site worker ordering the demolition of the apartment block. That’s why he uses a walkie talkie.