A Doll's House is a play written by Hendrik Ibsen first staged in 1879. In order to answer your question, I would advise you to start by explaining one of the main themes in the play: the restricted life of women. Through the character of Nora, Ibsen tried to show the audience how it was sadly far too often the case that women were restricted in the way they led their lives. The play is set in the time it was first performed, the end of the 19th century. At the time the play was written, women were not able to live their life to the fullest, just like Nora Helmer. Instead of being able to fulfill their dreams, women were often seen as inferior to men, with their role being mainly at home in order to run the household. You can see a clear link here between the setting and the theme of the restricted life of women at the time.
Another link between setting and themes you might want to point out is the fact that the play is set solely in the Helmers' house. The title of the play suggests that the Helmers' house is almost like a doll's house. This implies that the beauty and perceived happiness of living in this household is fake and artificial. You could therefore interpret the fact that the play is solely set inside this "doll's house" as a metaphor for the theme of marriage in the play: the Helmers' marriage is not as amazing as it seems and is artificial and fake, just like a doll's house. In fact, Nora herself admits that she feels treated like a doll by her husband: "I’ve been your doll-wife."