Why not consider your discussion/analysis of Poe's "The Cask of Amontillado" as that of a Gothic tale? With this approach, your thesis statement can be a contention that the setting exhibits standard gothic elements which contribute to the horror of the story. If you have been instructed, for instance, to devise your thesis statement with three aspects/opinions which you will prove in the body, you could contend that the catacombs are, indeed, dark and mysterious, filled with the grotesque, and of a foreboding atmosphere.
Another consideration is the fact that the setting is the most important element of Poe's narrative.What better place to "bury" his crime along with his culprit during the time of the Carnival when all revel and imbibe, unaware of their surroundings in their celebration? In this case, you could devise a thesis that presents three reasons why the setting is the most important short story element in "The Cask of Amontillado."