"Alone" is all over the place when it comes to settings. Think of all the different places the poem mentions: mountains, fountains, autumn sunlight, torrents, thunderstorms (complete with lightning). Clearly, we are supposed to think about the natural world when we read this poem, but not just any old natural world. This is a natural world that is full of mystery—the lightning isn't just lightning, the mountains aren't just mountains. They are almost magical. While the speaker declines to give us any more specific details, the whole demon-cloud business gives us a clue as to the supernatural energy of that the speaker is attuned to in his environment.
In addition to a mysterious natural world, there are a few other places we should probably discuss. "Alone" is a semi-autobiographical, retrospective poem about Poe's childhood. Poe was born in Boston in 1809, orphaned at the age of 2, and then adopted by a Richmond couple who took him to England for five years in 1815. While none of these places are discussed specifically, Poe's shuttling back and forth between three different cities within ten years almost certainly inspired some of the feelings of loneliness and alienation described in "Alone."
Ultimately, the setting here is one that both emphasizes the speaker's loneliness, but also highlights his specialness. Let's face it—one of the reasons you probably haven't ever seen a demon cloud before might be because you're too busy enjoying a rich social life. After an extended period of isolation, your surroundings may look very different to you—as is the case with our speaker here.