I actually grew up in the Midlands, believe it or not! What is interesting about the Midlands as an area of the UK is that it is considered to be a location of the rising middle classes, which we can tie in to the important theme of class consciousness in the play as a whole. In addition, the fact that the play occurs in one room and does not occur in any other locations serves to present this one room as a kind of microcosm of the larger issues of class anxiety that occur outside of its narrow confines. Just as Jimmy rages against the kind of situation he is in, all shown to us in a claustraphobic atmosphere, so England is presented in a similar fashion as it presents those issues in a way that helps us to imagine Britain as a cauldron of discontent.
In addition, another aspect that is important about the setting is the way in which we are told that the furniture is meant to be very drab and boring. It is rather antiquated and very simple. This of course heightens the contrast between the bright idealism and energy of Jimmy and the very colourless existence of the world in which he finds himself in.