Setting in The War of the Titans
The setting for most of the Theogony is, well, everywhere. Hesiod doesn't bother to tell us exactly where Gaia was when she gave birth to Uranus: she was just hanging out in the void. Part of the reason for this is that Hesiod plans to go on and describe the origins of things like oceans and rivers; and because these things are both places and people, Hesiod can't mention them until the proper time. It also doesn't help that the scope of his project spanned a good portion of what ancient Greeks considered the "known world."
All this said, we are given concrete locations for the Titans' and Olympians' base camps when the war starts. According to Hesiod, the Titans fought from Mount Othrys in Central Greece, near the region of Phthiotis, while the Olympians gathered on Mount Olympus, near Thessaly. We'll bet you never saw that coming, did you? Check out this map for a visual. (Mt. Olympus is just north of Thessaly.)