Did the wall color change at some point after its creation? Or was it just badly named?

Definitely Blackwall Tunnel in London:

Also the plate the Caprice is wearing looks like one of those non-standard British plates used by British car guys driving USDM cars to give their regs a more American feel (and to fit in the plate holder)... However I do not see any results for a "PNY 325" or "PNY 32S" on DVLA.

I'd say Britain. The sign at 0:30, the houses at 1:55 and the road stripes az 3:00 are looking British.

Isn't that the Blackwall Tunnel with the Fiat Ducato?

Sources say that this video was filmed in Los Angeles, it's got a Chevy Caprice in it, but at 00:17 - 00:18 we see a Fiat Ducato van which looks to be RHD, see here:

https://www.youtube.com/watch?v=p13D9f_5ovg&ab_channel=VanessaAmorosiVEVO

Also at the end of the video at 3:03 there look to be some Victorian terrace houses in the background.

https://en.wikipedia.org/wiki/This_Is_Who_I_Am_(song)

Is this the UK? The singer's Australian.