Series 7: The Contenders

The film is shot in the style of a reality TV series. Five new contestants are selected in a random lottery and, along with the winner of the previous series, comprise the six Contenders. The film purposely leaves many key details unexplained, as the viewer is supposed to be watching only what the creators actually aired in the fictional TV show. How the show became so powerful as to randomly select people to be killed is unexplained, but the Contenders treat it as something they cannot control. Contenders are given a pistol, though they may acquire other weapons, and the last one left alive is the winner. Contestants are forced to play the game, regardless of their wishes. A contender who wins three tours of the game is freed from it.
Each series of The Contenders is played in the limits of a city or town. Series 7 is set in Newbury, Connecticut, the hometown of Dawn Lagarto (Brooke Smith), the current and longest reigning champion. She has won two tours and just needs to win one more to be set free. Dawn is eight months pregnant and hopes to win the game for her baby. The show hosts a lottery, with Contenders chosen by whichever social security number appears. The five contenders selected are:

Connie Trabucco (Marylouise Burke) â 57 years old, single, emergency room nurse.
Jeffrey Norman (Glenn Fitzgerald) â 33 years old, married, artist. He is dying of testicular cancer and is Dawn's former love.
Anthony Reilly (Michael Kaycheck) â 39 years old, married, unemployed asbestos remover.
Franklin James (Richard Venture) â 72 years old, retired.
Lindsay Berns (Merritt Wever) â 18 years old, student.
Series 7 begins with a recap of the end of Series 6: the opening scene shows the heavily pregnant Dawn enter a convenience store and fatally shoot a man in a seemingly random act. The show credits then roll, its rules are explained in voice-over narration, and the contenders are introduced. Interview segments interspersed with several of the contenders' early attempts to attack each other offer insight and background on the contenders. Most unusually, Dawn and Jeffrey already know each other. They were high school sweethearts, breaking up after Dawn had an abortion and Jeffrey came to believe he was gay. Jeffrey, now married to Doria (Angelina Phillips), and Dawn meet, and the terminally ill Jeffrey asks Dawn to kill him. Dawn agrees and leaves to procure drugs, so Jeffrey can painlessly overdose.
Lindsay travels to Franklin's trailer home and, after a pep talk by her parents, attacks him. They exchange fire, but neither is killed, with Lindsay suffering a wound to her arm. Meanwhile, Anthony tries to flee with his young daughter but is badly injured (supposedly from a "self-inflicted" knife wound to the back). Connie and Dawn separately track him to the hospital, where Connie kills him by lethal injection. Following Anthony's death, the remaining contenders receive notes to meet someone from "The Underground" at a local mall, promising help escaping the game. At the mall, security confiscates Franklin's pistol, but Lindsay is passed, after stating she is part of the show. Dawn, waiting near a store, spots Lindsay, as does Franklin. Franklin creeps up behind Lindsay and beats her to death, in front of her horrified parents. Franklin announces that the show is fixed, but, before he can explain, he is killed by Connie, the mastermind behind the notes. The only contenders left are Dawn, Jeffrey, and Connie.
Dawn tracks Connie to her home but goes into labor. Connie reluctantly assists her delivery, and Dawn is transported to a local hospital to deliver. She names the baby, a girl, "Jeffrey", but she is taken from her shortly after birth because of game rules. Contender Jeffrey, despondent when Dawn does not return to kill him as promised, is also in the hospital, following a suicide attempt. Connie attempts another lethal injection, but Jeffrey, who now wants to live, shoots and kills her. Dawn races to Jeffrey's room, where they realize they are the final two Contenders. They agree to meet at a neutral location for a final showdown. There, they profess their love for each other and turn against the camera crews following them.
The series finale traces Dawn and Jeffrey through surveillance footage and viewer tips to a movie theater. There, using confiscated cameras from the TV crew, they record themselves taking the theater patrons hostage and demanding the return of Dawn's baby. At this point, the narrator advises the show's audience that all remaining footage was lost due to a technical error and that the events have been reconstructed as a "dramatic re-enactment." Actors playing Dawn and Jeffrey are shown with an official of the Contenders program. "Jeffrey" agrees again to let "Dawn" kill him, but, before she can, "Doria" appears and kills "Dawn", saying she still loves Jeffrey. A distraught "Jeffrey" then shoots himself. The film closes with a "promo" for the upcoming Series 8, which shows Doria in prison, denying that she killed anyone, and reveals that Jeffrey has survived and is now the reigning champion.

Question: Where do Dawn and Jeffry go in the series finale?
Answer: Movie theater