Yep, it sure is Fire Island. Truro is confusing since it is also known by two other names, Highland and the Cape Cod light. Guess it was too cold or too many tourists were there to film all the way out on the Cape. The Long Island Expressway is much closer for a movie crew than getting everything needed for a camera crew in Cape Cod. If you have ever been to Truro you know that it is not the type of place you just drive leisurely to.
I have to admit I was a bit confused when I saw MIBII and kept thinking they had at least filmed in Mass.
Well, enjoy the movie anyway and at least one lighthouse can enjoy some fame for a while.