We’re tempted to claim that the setting in this poem is "The Universe," and that wouldn’t be far wrong. While there are several geographical references here – the Atlantic Ocean, the Mediterranean Sea, and Baiæ’s Bay – it’s telling that all of them are to flowing bodies of water instead of urban centers, modern nations, or anything grounded. Shelley’s poem, like the West Wind that it describes, has the power to move freely over the world, ascending up to "the zenith’s height" (22) or plunging down into "The sea-blooms and the oozy woods" (39) that are "far below" (38) at the bottom of the ocean.
More than anything else, Shelley sets this poem in the human mind. Even though the speaker claims that his thoughts are "like withered leaves" (64), we learn that he is "tameless, and swift, and proud" (56) like Nature itself. In fact, by juxtaposing the wild West Wind blowing over the entire Earth with the desire of the speaker to scatter his thoughts, Shelley tries to fuse the mind of Man and the infinite range of Nature. So that’s where we are: everywhere. We’re trying to fit "everywhere" into your mind, so that we can change both of them.