New York City, 1899
Welcome to New York City in 1899. At this time, in many ways, the city is still being settled and forging its identity, an identity comprised of all the different people arriving from different foreign countries. The invisible lines around neighborhoods are being drawn by the different cultures and religions as they settle in the Big Apple, and people tend to stick together.
The Golem and the Jinni are immigrants, too. They're both immigrating into human existence from whatever supernatural worlds they come from (the Jinni was a spirit in the desert, and the Golem is somehow made out of clay)—and they're coming from Europe and Asia. Pretty much everything they see in the city, from the Bowery to Little Syria to Central Park, is brand new to them both.
New York City is huge to the Golem and small to the Jinni, who misses the freedom of the desert. They compromise, and the Golem helps the Jinni appreciate his surroundings while the Jinni encourages the Golem to explore outside her comfort zone: "If all you've seen is your own neighborhood, then you have no idea" (13.173), he says.
This would be a different book if it were set in modern day New York City. The Golem's boardinghouse is only seven dollars a week for one thing, which is a lot in 1899 (and approximately what a New York apartment costs per second today, give or take a few hundred bucks). Plus, so much of the plot revolves around research into ancient texts (as in books) and mysteries (like "what the heck is a jinni?") that could be solved with a simple Google search today.