Really, the best way to describe the setting is this:
You get where we're coming from? No? Look again:
The setting is nothingness. There's very little imagery in the poem to give us any sense of place. But that's totally the point. The speaker is trapped in blankness that goes on and on forever. The first couple of lines say it all: "From Blank to Blank—/ A Threadless Way" (1-2).
This "Threadless Way" thing is most likely a reference to the story of Theseus, who escaped the Minotaur's labyrinth by following a thread. Our speaker doesn't have a thread, though. And really, what good would it be? A labyrinth of nothingness is even more inescapable than a maze with walls. How can you ever find your way out, when everywhere you turn looks like this: