While the neither the narrator nor the character ever come right out and say that this safari is taking place in Kenya, we can assume from Wilson's reference to Nairobi that they are somewhere in that country's wilds. Hemingway himself went on a safari in 1935 and 1936, so it makes sense that he might choose a setting with which he is familiar.
But the setting is about more than familiarity. It's really about foreignness. The plains of Kenya are foreign to the Macombers, who are used to the luxuries and conveniences of American life. Plus, you know, there aren't any lions in America, besides the ones you might see in the zoo. This new landscape is beautiful, but it is also dangerous and threatening.
Hemingway makes much of the natural surroundings and the peacefulness of the setting:
So they sat there in the shade where the camp was pitched under some wide-topped acacia trees with a boulder-strewn cliff behind them, and a stretch of grass that ran to the bank of a boulder-filled stream in front with a forest beyond it. (1.49)
But soon after reading about this peaceful, idyllic scene, we see the rocks and grass as a backdrop for violence: "There was dark blood on the short grass that the gun-bearers pointed out with grass stems, and that ran away behind the river bank trees" (2.92).
Hemingway implies that the Macombers' expectations of the safari have come from sappy adventure movies made by a contemporary documentary filmmaker named Martin Johnson. The Africa that Johnson brought back to American in his films was an adventurous, exotic, but unreal place. American tourists like the Macombers think they are in for a romantic adventure, and the only one who knows any different is the seasoned hunter Wilson. When he arrives, Macomber quickly finds a different reality. It certainly does not help that Macomber is kept up half the night by a lion roaring: "It was a deep sound and at the end there were sort of coughing grunts that made him seem just outside the tent." As if that isn't scary enough, when it comes time to kill the lion, the big cat waits until the hunters are practically next to him before reawakening to charge the group. These are seriously dangerous beasts.
Yet Hemingway goes out of his way to arouse sympathy for those animals in us readers. These animals may be dangerous, but they are not cruel. We even get to experience the hunt from the lion's perspective:
[…] he turned his heavy head and swung away toward the cover of the trees as he heard a cracking crash and felt the slam of a .30-06 220–grain solid bullet that bit his flank and ripped in sudden hot scalding nausea through his stomach.
After getting to jump inside the lion's head for a moment, we can identify with Wilson when he says they must finish the kill to put the lion out of his misery. Of course Macomber, who neither understands this country, nor the lion – only fear – cannot possibly comprehend why that's necessary. But remember, he's not from around these parts.