Technically, Fox Chapel is in the City of Pittsburgh (according to their official address). It is in the NE corner of Pittsburgh. However, like many schools, you must live in the school's specified boundary to attend.

I know that housing is suffering mightily there, so if you are in the market of renting/buying, you can probably get a pretty good deal. Also, since it's a preferred area, it would be easier to sell since everyone wants their kids to go to high school there.