Portrait of Jennie
David O. Selznick's fantasy used the Cloisters as the location for a convent school.
The Cloisters, Fort Tryon Park

Wikipedia says producer David O. Selznick insisted on filming actual locations, among them the Cloisters in New York City, which used it as the convent school (directed by William Dieterle). A reader comment on the Washington Heights NYC site recalls interior and exterior Cloisters scenes and a night scene overlooking the Hudson and Palisades; that is an unverified recollection and is not relied on here.