The ad was filmed in Madrid (with a lot of CGI to make it look like it was filmed in the UK).
A quick look at Churchill's Youtube channel finds this question:
"Where was this filmed?"
. . . together with this response from the owners of the channel:
"We worked hard to make the location look like Britain but to guarantee the sunshine we needed, we had to travel to Madrid to shoot the advert".
There's also a post there from someone who writes "it's filmed in a working class neighbourhood, just outside the centre of Madrid. How do I know? I live here"
https://tinyurl.com/yx69nf4s