Where It All Goes Down
The Galapagos Islands
Hands down (or tortoise shell down, more likely) the story in which the setting is most important is "The Encantadas." In fact, the whole story is almost nothing but setting—so much so that it isn't even a story really. Rather, it's a description, with anecdotes as illustrations.
The whole point of "The Encantadas" is that the Galapagos Islands are an abandoned, isolated, bleak, blasted, bitter, bereft place:
It is to be doubted whether any spot of earth can, in desolateness, furnish a parallel to this group. (5.4)
The pleasure of the piece is exploring this desolation, noting the sad fate of a woman abandoned on an island over here, or glancing upon the pelicans, whose "elongated bills, and heavy leathern pouches suspended thereto, give them the most lugubrious motion." (5.43) The plot is the sight-seeing.