We think you got this one. This poem's set at a funeral. Go ahead, get it out of your system: duh.
But here's the thing. This isn't about a small chapel, filled with loved ones in black. The setting, in many ways, is the whole wide world. And the speaker would like it to stop being awesome for a moment, thank you very much. See, it's not enough that the funeral's full of sad people. The speaker wants that sadness to be reflected in everything—from the pigeons in the street to the stars in the sky. The true setting of "Funeral Blues" includes all of those things.