The funny thing about this sonnet is that there's no real location. In fact, there's no real action in the poem. It's more of an intellectual argument than an evening or a story. We're really just getting the speaker's voice reciting his poem out there in a galaxy of poem-outer-space. There aren't any details about sitting in a room, or staring at the trees, or walking down a city street.
But the poem takes place in a formal setting, so to speak. The sonnet form is like a setting for the speaker's mind to unravel his mediation about God, life, being black, and being a poet. That's a little abstract, sure, but it's the form of the poem that becomes like a vessel the speaker fills with his voice. This poem can't exist outside of its formal restraints, so that's sort of like the setting of the poem.
Don't forget this poem was written during the Harlem Renaissance, which can act as another kind of setting or context as we read it. Although the poem doesn't take place in Harlem, it is definitely concerned with the ideas of the Renaissance movement.
At its core, the Harlem Renaissance was a period in the early 20th century when the African American community in Harlem began to work for racial equality in America, both socially and artistically. The NAACP was born and across America, the African American community began to unite and promote black culture and civil rights through art, education, and social activism. Countee Cullen was one of the movement's poster boys, and his poetry, among the poems of other notable black poets like Langston Hughes and Claude McKay, reflected the movement's ideals of racial equality.