It's not perfectly airtight, but if they
- get a sound stage or business park location
- ensure no lighting is natural, the set is lit completely by studio lights (fun opportunities for messing with contestants)
- get all the permitting done correctly beforehand
- have a person or two who are never seen nor mentioned on the stream collect deliveries
- put all deliveries in those employees' names (or fake names where possible)
- never let the stream show even a glimpse outside of the building, or even too much outside of the set
- ensure adequate enough soundproofing to eliminate 911 calls and ensure little outside noise is picked up on stream
- never mention anything that could be cross referenced (weather, restaurants, drive distance, etc)
- never allow any contestants to mention anything at all about the location pre-season or during the stream or else they'll be kicked
- purchase furniture, props, clothes, or even food unique to local places
- and lastly hide any and all digital traces like IPs and whatever else
They could very feasibly avoid the location being exposed. It sounds like a lot but it's really all common sense stuff.
None of this matters if the house is a residential house though. It's way too easy to match floorplans to neighborhoods, and any glimpses of the outside can be instantly figured out by geoguessr dudes.