In this excellent short story we can explicitly relate the setting to the theme, which is based around the epiphany that the narrator experiences at the end of the tale. Let us remember that the whole story is built on the rather grandiose way in which the narrator sees himself, Mangan's sister and her request for him to buy her something from the bazaar. This is something that he transforms into an incredible knight's quest in his imagination, and he has a rude awakening when he reaches the bazaar and realises how foolish he has been. Consider how the bazaar itself is described and how different it is from the place of eastern enchantment that the narrator imagines:
I found myself in a big hall girdled at half its height by a gallery. Nearly all the stalls were closed and the greater part of the hall was in darkness. I recognised a silence like that which pervades a church after a service.
The irony in this quote is obvioius. The bazaar is actually dark, silent and ominous, which exemplifies the huge gap between the boy's dreams and expectations and the reality that faces him. It is therefore extremely fitting that this is where he experiences his epiphany and realises how romantic and illusory his dreams had been.