In this story, Edgar Allan Poe layers multiple aspects of the setting to reinforce the perfection of the murder plot. In reality, they probably were not all needed. An effective thesis can be constructed around arguing for the primary importance of any one aspect. As there are several distinct ones, you can find ample evidence in the story to back up the one that you think is most important.

One such statement might be: By setting the story in a house with a wine cellar, the author creates an ideal environment for the murderer to lure the victim, who is a wine lover, to a fatal encounter.

This type of statement is supported by the story's title. A similar statement could argue for the primacy of the catacombs as the ideal setting because the depths make them soundproof to anyone above. A third option would be to emphasize Venice with its carnival because of the disguises, or the contrast of the merriment to the sinister murder plot.

Just keep in mind that the evidence in the text should point you toward the thesis so you can be confident that your thesis corresponds to the author's intention.

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."