Geographically, Hong Kong is broken up into the New Territories, Kowloon, Hong Kong Island, and the Outlying Islands. Hong Kong Island is split off from Kowloon (and the New Territories) by Victoria Harbour. The Harbour can be crossed by ferry, by subway, or by vehicle through underwater tunnels. (The last doesn't come up in the story at all.)

Michelle and Sam live in different parts of Kowloon, before Michelle moves in with Sam, and Michelle's work is on Hong Kong Island. The New Territories doesn't feature much, except for Michelle and Sam's day trip to Sai Kung.

At the beginning of the game, we start off in a subway train. From context, Michelle is probably taking the Tsuen Wan Line, since the in-game dialog states that the next station is Central and that passengers can transfer to the Blue Island Line.

There's likely a historical error here. This looks like a train[en.wikipedia.org] that was historically operated by the KCR (Kowloon-Canton Railway). In contrast, the Tsuen Wan Line was run by the MTR (Mass-Transit Railway), which had different train interiors[en.wikipedia.org]. In the 2000s, the MTR and KCR merged, but there is still variation in the trains used in different parts of the railway system depending on the historical operator of the section.

The details in the game once Michelle gets off the train also seem to match the real world Central Station.There is in fact a part of the station[www.mtr.com.hk] where there are 3 escalators parallel to each other, and much of the station does have red walls and ceiling. Unfortunately, I couldn't find any pictures of a specific exit that the art is referencing, although based on all the other details, I assume that this is also based on something that exists in real life.

Before Michelle talks about her job, we see this shot of Jardine House[en.wikipedia.org], which is near Central Station, in the background. The building in front is likely St. George's Place[www.oneday.com.hk].
Much later, Michelle and Sam take a tram after crossing Victoria Harbour in a ferry. The tramways are specific to the northern part of Hong Kong Island and don't exist in other parts of Hong Kong. Unfortunately, it's hard to tell if there was a specific location that was used as a reference. (Let me know if you figure it out!) I'm also not sure if the symbol on the tram is meant to be a bauhinia and if it was used as an emblem in Hong Kong in 1986, but it definitely looks similar to the one on the current flag of Hong Kong.

A lot of the action takes place in Mong Kok. This is where Sam and her father live and work and where Cecilia has her bar. Mong Kok is sometimes abbreviated as MK, hence Mr. Wong’s store being MK補鞋 or MK Shoe Repair Service. There are also a number of pet shops in the area, most notably on what is known as Goldfish Street. For better or for worse, it's also common for pet fish to be held in bags of water. Michelle later mentions passing by Temple Street, which would lie to the south.

Later, Michelle says that she lives in Kowloon City. The official boundaries for Kowloon City include a number of subway stations, but other than Kowloon Tong, most of them were constructed after 2000. (Michelle did finally get rail service to the area after all.) It's unlikely anyway that Michelle's mother lives in Kowloon Tong; it's an expensive area, and Michelle says that they downsized when her father died.

Michelle and Sam spend part of Michelle's day off at Tsim Sha Tsui and take pictures on the promenade, which overlooks Victoria Harbour. The location depicted in the background includes the Wan Chai Pier[en.wikipedia.org], the Bank of Communications (although the building was completed in 1996), the Sun Hung Kai Centre[commons.wikimedia.org], and what looks to be Harbour Centre[commons.wikimedia.org].

To get to Sai Kung from Kowloon, someone would take Clear Water Bay Road. (Clear Water Bay is one of the tracks in the soundtrack too!) The road is fairly mountainous and there's almost certainly a few bends that look like this.

I'm actually not sure where the cemetery is supposed to be. Sam's mother has what's described as a horseshoe-shaped grave, but the only major cemeteries in the Sai Kung-area either didn't exist in 1986 or seem to typically have a different style of grave. My guess is that Sam's mother was buried in a small rural plot. Horseshoe graves seem to be more of a rural phenomenon anyway, so that would make sense.

This is the Seafood Street[en.m.wikivoyage.org] of Sai Kung, which lies on a waterfront promenade. The neighborhood itself has a lot of pedestrian-only alleyways, which we see shortly later when Michelle and Sam eat lunch.

This is very clearly Tai Long Wan[en.wikipedia.org], which you might also see described as part of the MacLehose Trail, a hiking trail that goes through part of Sai Kung. (You'll even see the exact same angle in some of the pictures of it on the internet!) It looks like Michelle and Sam end up at one of the beaches in the trail, but there doesn't seem to be any very obvious indication of which one exactly.

Some notes on locations and things that were mentioned but not actually seen:

• Sam suggests going to Ocean Park, which is an amusement park that still exists today. There are both amusement part rides and animal exhibits.
  
• Mrs. Cheung mentions HKU, or the University of Hong Kong, in her argument with Michelle. In the 1980s, HKU would have been one of the top choices for university-bound students in Hong Kong.