We get almost no clues at all about where this poem is taking place. That's just how Shelley wants it. He doesn't want us thinking about where we're standing, or whether there are trees or elephants or rainbows around us. He wants us to focus on the pure feeling of listening to that invisible skylark. He uses all kinds of imagery, for sure, but those images are comparisons to the skylark's song, not descriptions of what the speaker is seeing.
Although, there might be an exception or two. When he says: "The pale purple even / Melts around thy flight;" (16-17), that sounds to us like a description of the setting of the poem. You could imagine all kinds of other things that might fit the mood—green trees, wide open lawns—but none of that is in the poem. And that's exactly the point. This is a poem about feeling and thought and sound, not a particular spot on the planet.