Kidnapped!

[davedove]

Because the tax breaks and other incentives for film-makers there -- wherever "there" is -- are better than those available to companies who may be considering filming in the state, itself.

Another reason, especially when filming "European" scenes is that the scenery just doesn't exist at the actual location anymore. In the last couple of centuries, Europe (especially western Europe) has become much more inductrialized and populated. So in many cases, a valley where some event occured now is covered by a town.