There are several main settings in Mockingjay. The first is District 13, where the rebels are staying, training, and planning the war. It is all underground, and everything is tightly controlled. So, to describe it, I would use words that relate a feeling of stone, cold, and control. Restrictive, artificial, man-made, stifling, and hard.
Another setting is in the actual Capital, in two main areas: on the streets, and in the sewers. The sewers are dank, smelly, dark, mazey, humid, mysterious, frightening and unpredictable. The streets themselves are dangerous, intense, anxiety-filled, and filled with reminders of a decadent society--colorful, glittering and shiny.
The other emotionally charged setting of the novel is in the ruins of District 12. katniss visits it when she recovers from the last Games. It is filled with ash and death; it is morbid, sad and tragic. It is painful and emotional for her to see the remnants of what used to be home, and to know that most of the people did not survive.
I hope that those thoughts help to get you started; good luck!