The Cleveland Indians play their home games at Progressive Field in Cleveland, Ohio.
The Cleveland Indians play baseball in Ohio.
The Indians are a major league baseball franchise in Cleveland, in the state of Ohio.
Indians can play whatever sport they want to. A better question would what sport is India good at, and the answer to that question is cricket, cricket and cricket.
Starting in 2008, the Cleveland Indians will play in Progressive Field (nee Jacobs Field.) Prior homes included Cleveland Municipal Stadium and League Park.