Not even close. The bulk of Sokovia scenes were film in the UK.
As a superhero film with big budget and big action, The Avengers: Age of Ultron needed a large amount of outdoor space with a high degree of flexibility in which to construct their exact and closed-off worlds.
The Peel Training Centre at the Hendon Police College was perfectly suited for the role: a blank canvas and vast space in which to construct realistic exteriors – which were to be destroyed on screen!
"Over a period of five months, [Marvel Films] were able to take control over an unprecedented collection of redundant buildings, streets and real estate for several major set builds, to create and film our scenes at the heart of war-torn 'Sokovia', an Eastern European City."
Hendon Police College in London serves as the city of Sokovia:
Hendon Police College is the principal training centre for London's Metropolitan Police Service. Founded with the official name of the Metropolitan Police College, the college is today officially called the Peel Centre, although its original name is still used frequently.