For a novel called Jazz, you can't get more jazz-tastic than Harlem in 1926 during the Harlem Renaissance. All the action in the present-day of the novel takes place in Harlem, and we're treated to descriptions par excellence of the sights, smells, and (of course) sounds of the city. The new fashions, music, and sexual freedoms of the 1920s were exciting and terrifying, and they kicked off in big cities like New York.
The central conflict (you know, when Joe has an affair and then kills his girlfriend) is also totally tied up in place: Dorcas wants to go out and enjoy all the fun and excitement the City has to offer, and Joe, though he's happy to oblige her, basically wants to lie in bed with her all evening. She's the youthful side of the City and he's the older generation who's come in from the country.
This brings us to the other setting in the novel: rural Virginia. South of the infamous Mason-Dixon line everything in is rife with violence and oppression for black people, as well as the memory of recently abolished slavery.
Both Virginia and Joe live in Virginia until their thirties, and their childhood memories (which would be pretty dang complicated and horrific regardless of place) are tied up in geography. Their memories are haunted by the ghosts of slavery: Would Rose Dear have committed suicide if slavery hadn't been a formidable part of her existence? Would Wild have run off if she hadn't been raised as a slave? Slavery in the South echoes through Jazz as surely as the memory of slavery echoes through early jazz music tracks.