We don't really get a clear sense of where the speaker is until the poem's final stanza, so it's pretty easy to overlook setting in this one. That said, don't overlook the setting in this one. Knowing where the speaker is when he declares his love for Jane makes this a far more meaningful and poignant poem.
In line 20 the speaker says, "Over this damp grave I speak the words of my love." It's in this line that the poem's setting becomes clear: the speaker is outside, at Jane's grave. We are also told the grave is "damp." This gives us the sense that it is, or has been, raining. Even though the setting only gets one line, it creates a chilly atmosphere that seems fitting for an elegy. We can almost see the speaker, collar turned up against the damp cold, standing at the gravesite remembering Jane.