The poem doesn't take place in a specific setting, but it does manage to put us in a pretty surreal space. It's kind of like the whole thing takes place in some kind of Salvador Dalí designed alternate dimension.
Get ready, this is going to be kind of weird.
When we hear lines like "The Brain—is wider than the Sky— ," (1) we imagine a brain floating in an infinite blue sky, into which it gradually expands and eventually totally merges with. And when we're told that "The Brain is deeper than the sea— ," (5) we imagine the brain floating above an unfathomably deep sea. It plunges into the sea's depths, and suddenly there's a whirlpool as the brain absorbs the bright blue water.
In the end, we see the brain in the midst of a swirl of sea and sky as it's measured against the "weight of God," which is the raw sound or the wind and the waves.