We're all over the map in this one: Gaul, the Swabian plains (20), East, West—you name it. If we had to boil it down, though, we'd say that the best way to describe this setting is "elsewhere." That's because the speaker really just isn't happy with his lot in life, and he'd like to get out of Dodge—pronto.
Does he physically want to pack his bags and hit the road, though? Probably not—at least, he never actually brings himself to go, well, anywhere in the poem. Sure, he fantasizes a big game: "I'm quitting Europe. Sea air will scorch my lungs: lost climates will tan me. To swim, trample the grass, hunt, above all smoke: drink hard liquors like boiling metals – as those dear ancestors did round the fire" (29). Really, though, it's conventional civilization that he wants to escape: "Subtle torture, foolish; the source of my spiritual divagations" (252). Those divagations (aimless wanderings) are best understood as figurative, or spiritual, journeys. He's not literally taking a trip. Instead, he longs for an escape from what he sees as the restrictions of his society: "Men of the Church say: 'Understood. But you really mean Eden. Not for you, the history of eastern peoples. – It's true: it was Eden I dreamt of!" (254).
The speaker wants to get away, then, in a spiritual sense. That's because he's, again in a spiritual sense, in hell. He feels trapped by the march of progress and science, constrained by the prominence of conventional religion, and hemmed in by the conservative expectations of middle-class France. He's not having fun anywhere—plus we know historically Rimbaud wrote this poem as a way of working his way through a bad break-up. All this adds up to the hellish figurative setting that the speaker imagines, which—unfortunately for him—only exists in his own mind. That's why it's so darn hard to get the hell out of there.