Thorstein Veblen died of a heart disease in 1929 in Menlo, California. (Very close to Stanford!)
Although he did study at Yale and Cornell, his observances of the leisure class were probably divided between New England, New York and Chicago.
Here's one exciting part of Veblen's life:
'Veblen was offered an appointment [of] associate professor for 1906/07 [at the U of C], but his gruff manner and unconventional personal life garnered notoriety. The Chicago administration forced him out in Dec., 1906 for flagrant marital infidelities. His reputation suffered because of "landfill of lies and half-truths" depicting him as an irredeemable womanizer and lady-killer whose unconventional views on equality made him irresistible to women; unable to attain positions worthy of his brilliance because his wife Ellen blackened his name.'
Source: The Veblenite
Other than that, his biography is fairly boring but that's ok -- The Theory of the Loser Class is pretty much all about Star Wars, shoplifting, and binary code.