No, none of the Cobras were ever built in Pittsburgh. My Dad bought the first production car (CSX2001) from Ed Hugas, who was a personal friend in Pittsburgh. I just converted a few home home movies to youtube, so have a look:
http://youtube.com/watch?v=Wf9u4kBoYws&feature=user
http://youtube.com/watch?v=hj_WH-Y3puA&feature=user
http://youtube.com/watch?v=C8IhwInXjpM&feature=user
These are literally home movies, with my Dad (Dr. Richard A. Milo) driving the car, that I simply captured with my digital camera and uploaded. I was 9 years old at the time, and I was the kid on the bike.
Cheers,
Dave Milo