Soho, part of London's West End, has long been known as an "entertainment" district. In the nineteenth century this means prostitutes, music, and theatre—all big no-nos for respectable folks. Such a place is the perfect location for a play about characters like our baddies; they would have been regulars at any Soho pub.
We know that the play is set in 1837 because of the coronation that is about to take place. That's the year that Queen Victoria was crowned, almost 100 years before the play itself was written. Brecht liked to set his plays in different times so that audiences could see that, if they can critique history, they can also critique the present political situation.