I wonder if you are referring to the historical, contextual setting or the actual setting of the prison cell that occurs in the story? To focus on the historical setting, this is Poe's famous story of confinement and imprisonment in an extraordinary prison cell in Toledo, Spain, during the brutal Spanish Inquisition. The Spanish Inquisition was a form of religious court set up by the Catholic Church and the monarchy in Spain during the fifteenth century to accuse and punish those who failed to comply with the church or royal authority. The Spanish Inquisition was famous for bizarre and hideous torture methods that were designed to psychologically torture their victims as well as physically torture them. We can clearly see this in play in the story with the way that the pit and the pendulum is used to psychologically break down the narrator with terror.
The actual story occurs mostly in a prison cell where the torture methods are present. We are given an accurate description of the cell:
The whole circuit of its walls did not exceed twenty-five yards... The general shape of the prison was square. What I had taken for masonry seemed now to be iron, or some other metal, in huge plates, whose sutures or joints occasioned the depression. The entire surface of this metallic enclosure was rudely daubed in all the hideous and repulsive devices to which the charnel superstition of the monks has given rise... I now noticed the floor, too, which was of stone. In the centre yawned the circular pit from whose jaws I had escaped; but I was the only one in the dungeon.
It is here that the story is dramatically played out as by luck and ingenuity the narrator escapes the various deaths that the authorities have planned for him. You also might like to think about how the setting can be said to act symbolically. Some critics argue that the pit actually represents hell, with the pendulum representing time and approaching death. The coming of General Lasalle could be said to represent God's pardoning of the damned.
So, I have described the historical setting during the Inquisition but also the actual setting of the cell where the narrator is imprisoned. Hope this helps!