That might also depend on local ways of speaking. I'm English and when I go shopping in the town (or used to, since Covid 19), I say "I am going to Coalville" but in the past tense "I was in Coalville", but never "I was at Coalville". I might have been at or in <a particular shop>. I was born in <town name>, at or in <hospital name>. People born in the city of Leicester tend to say "We went up town" but I was brought up in a village and say "I went to town". I was recently in the county, not at the county. A business is located in the town, in the county, but they might say "We are at the top end of <street name> or we are in <street name>". people who went to church might say we were in church, but I have also heard them say "we were at church".