There's no specific setting in this short poem. Our speaker doesn't really set the scene for us. She just launches right in to the story of Aunt Jennifer. We get the feeling that our speaker is a bit young (see what we've got to say on this in the "Speaker" section) and that she's talking to us as if she knows us well. So, we imagine that the speaker recounts this poem to us in a cozy and familiar setting, even though the poem itself is not exactly cozy and warm. We like to imagine that the speaker speaks from an oversized armchair that makes her look small, and her fascination with the tigers look big.
Of course, there's a bigger setting at work here, beyond just what the speaker can describe in the poem. We get a glimpse of that setting when we read about "The massive weight of Uncle's wedding band." That symbolic description of the way Aunt J's marriage weighs her down indicates a broader cultural setting that is hostile, or at least challenging, toward women.
It's this setting, of course, that Adrienne Rich is writing in, and writing to critique. Through Aunt J, Rich is sketching for us a world in which women's art is denigrated, where they're sexually objectified, where they earn less money (if they are employed at all), and are made victims of abuse and assault. Though it can be debated that some of these issues for women have improved over the years, things were much worse for women in 1951, the year this poem was published. Talk about being weighed down! While none of these details are made explicit in the text of the poem, it precisely this repressive social setting in which the poem takes place. And that's what Rich is pointing out to us.