One element of setting is the symbolic bedroom "with its white, monumental bed, its closed shutters, look[ing] dim and mysterious." Chopin was notorious for writing scandalous stories about housewives enjoying the forbidden. So the great mystery here is what lies beyond the borders of accepted morals, represented by the bed. Later Chopin states that "she was a revelation in that dim, mysterious chamber". So, once they decide to answer that question, it was a "revelation", no longer a mystery.
A last element of setting is the dirt and mud that her husband and son get covered in as they walk home. This is the only reference to anything dirty or unclean in the entire story; they are worried about it, and Bobinot "scraped the mud off Bibi's bare legs and feet with a stick and carefully removed all traces from his heavy brogans" before they went into the house. Calixta isn't upset, but rather delighted that they are home. The mud (and similarly, her affair) is something that could have been deemed unclean or muddying, and have no negative effect on Calixta. She laughs them both off, and is happy. This happiness and freedom in unconventional sources is a major theme of Chopin's, and you can see that through the different elements of setting that she uses.
"The storm" title as well as the actual weather. I would assume the intense weather not only provoked but has a huge role on the sexual activity.