Nick is originally from somewhere in the Midwest. Early in the story, he explains that his "family have been prominent, well-to-do people in this Middle Western city for three generations."
In the last few pages of the book, Nick reminisces about returning home from his studies in the East, both while he was in prep school and when he attended college. The traveling was done by train, and took him through the Union Station railyards of Chicago. He apparently continues his trip from there, recalling "the dim lights of small Wisconsin stations" and "wheat or the prairies or the lost Swede towns." Because he mentions lots of snow and "long winters," it seems safe to presume that his family roots were located somewhere in the northern part of the Midwest, perhaps in northern Minnesota or in one of the Dakotas.