In terms of setting, we're going old-school in a new way with "Siren Song." We might at first imagine the kind of "picturesque and mythical" island Homer paints for us in The Odyssey when we hear from our Siren-speaker. But, as we hear more from her, we notice that she's deliberately omitting any specific details in terms of what the island actually looks like (mainly because she's bored with the whole thing). In that sense, the setting is largely left for us to paint in our imaginations.
We do know that the Sirens are wearing "bird suits" (good times) and that they're "squatting" on the island. So, as readers, we may imagine ourselves out at sea like the rest of the sailors that encounter the Sirens. The "beached skulls" may bring to mind the kind of ominous and fatal consequences of venturing too close to the island, but we're too busy listening to our speaker to care. So the poem's setting is also made vague by our distraction as readers by the speaker's "cry for help."
If you think about it, then, the poem's setting is really the end for us. That's because the moment we're able to actually "see" the island is also the moment when we realize that we're being lured to our deaths. So by keeping the setting vague and undefined, we understand that the speaker is preparing us for our last scene, so to speak. We don't get any sense of focus until it's too late. In the end, we become part of the setting, as just another one of those "beached skulls."