This poem has several settings. It begins with a strange encounter between the speaker and a traveler from an "antique land" (1). We have no idea where this rendezvous takes place, which is very weird. It could be in the speaker's head, in a dream, on the street, or in the desert; it sort of resembles something that might occur in a youth hostel or a tavern in London. The first appearance of Aragorn in the Fellowship of the Ring might be a good comparison.
Shortly after this initial meeting we are whisked away to the sands of Egypt, or a barren desert that closely resembles it. And this desert isn't just barren; it's really barren. Other than the legs, pedestal, and head of the statue, there's only sand. No trace remains of the civilization or culture that spawned the statue. It's a lot like something you'd see in Planet Earth: emptiness all around, a few sand-storms here, and that's about it. It reminds us of movies where people are stranded in the desert and eventually find a little oasis or the occasional tree, except that here we find a partially destroyed statue instead of a little pond.