We're all over the map in "And death shall have no dominion," but at the same time we don't get any specifics as to where exactly we are. Instead, the speaker keeps things pretty ambiguous but clear enough to get that we're either in the cosmos, the sea, or in some medieval torture device.
When we consider the poem's themes of life and death, it makes sense that Thomas chose to keep things pretty open in terms of setting. After all, we each have to experience death at some point so no need to limit the poem to a particular time or place. The speaker's omniscient voice also fits well with the poem's undefined setting. Since he can see it all, it doesn't make much sense to pin us down to any one place.