Aside from a telephone, this poem contains nothing but our speaker's thoughts, some names for an experience, and a couple of conversations between people. And aside from the woman's legs, we don't even see these people!
While the lack of location might seem a little frustrating at first, it also totally fits this poem. After all, it's about being displaced, being removed from one place and culture and not yet fitting in with a new one. So if we feel that we don't quite have solid ground under us, well, maybe that's just right. That's what we'd call the setting of this poem: the very lack of place, the feeling of not being quite at home.