The setting in this poem is pretty abstract. We don't get much beyond the religious images, so we might be in some kind of spiritual setting, or they might be part of the speaker's imagination. The oven where the bread burns is more of a metaphor than a producer of actual, crispy breadsticks, so we can't say we're in the kitchen. It seems that the setting of this poem is the speaker's own wounded soul.
César Vallejo himself had some wounds on his soul, let us tell ya. Born in a small village in Perú, he moved to the city to study at the University of Trujillo, only to run out of money. He had to work on a plantation to earn a wage, and finally finished and moved to Lima.
The trouble didn't stop there, though. He tried to commit suicide after a break-up, went to jail over a love affair scandal, and lost his job. He finally headed to Spain to avoid going to jail again, arriving just in time for the Spanish Civil War. Great timing, César! He finally died there at the young age of 46.
Vallejo's political sympathies were with the left, and might tell us a lot about the reasons he wrote the poem. In a class struggle where the poor and working class are oppressed, Vallejo was on the side of those who suffered, as this poem really highlights.