"Deathfugue" is set in a concentration camp somewhere in Europe during World War II. The Nazis set up concentration camps all over the territories they controlled, and this one could be anywhere. The details are deliberately sparse so as to capture the experience at the most general level. We know that the Jewish prisoners are digging graves, and there seems to also be a crematorium where bodies are burned. There are only a few historical details, like the music that the prisoners play while others perform forced labor. This happened in Auschwitz, probably the most notorious camp, and some other places, too. One detail that is notably missing is that of gas chambers. The camp in which Celan himself was interned did not have gas chambers, and they are not included in this poem. But the fact that the prisoners constantly dig graves shows that many people are dying on a consistent basis.
If "Deathfugue" were a painting, it would be full of grey and ash colors, and of course the blackness of black milk. We picture the air is filled with haze and ominous smoke. The prisoners all chant in unison, and they have taken on similarly haggard appearances from living in the camp. They are not differentiated from each other in any way. The only hint of bright colors are Marguerite's "golden" hair and the blue eyes of the camp guard, but in the context of the poem these colors inspire only dread. Importantly, the guard's house is kept separate from the camp in the setting. It is like a little Romantic hideout where the stars shine and the guard can write in peace. However, our knowledge about the man who lives there fully contaminates this space for the reader. In reality, there is nowhere safe in this poem.