The setting of this story in the cities of Geneva and Rome is important for a number of reasons. Geneva is important because it was the birthplace of Calvinism, which is of course the Protestant sub-group that had so much influence on America's religious identity. Geneva as a city is spoken of as "the dark old city at the other end fo the lake," and is also where Winterbourne chooses to dwell. Rome is also significant because of the way that is symbolises destruction and also alludes to both glory and corruption. Rome is shown to be a city that had its own destruction brought about by its very success and glory. Rome also seems to symbolise a particularly Machiavellian level of sophistication. In this sense, the setting of Rome stands in opposition for the character of Daisy Miller, and her naivety, youth, freshness and innocence. The setting of both capital cities therefore helps reinforce the dynamic qualities of Daisy Miller as a protagonist in the way that she does not fit in to the world of which she is a part.
This is something that is reinforced by the significance of the location where she contracts the fever that kills her. The Colliseum was an arena where innocents were slaughtered and sacrificed. It is therefore particularly fitting that Daisy contracts her fever in this location. She is an "innocent" who must be sacrificed in the face of society.