Arms and the Man by George Bernard Shaw was first staged on April 21, 1894 and enjoyed a successful stage run before being published in Shaw's collection Plays Pleasant in 1898.
The play is actually set in a period a few years before its opening, during the Serbo-Bulgarian War of 1885. The setting is very precisely identified in the stage directions on the first page of the first act of the play:
A lady's bedchamber in Bulgaria, in a small town near the Dragoman Pass. It is late in November in the year 1885, and through an open window with a little balcony on the left can be seen a peak of the Balkans.
Thus, the play is set in Bulgaria in 1885. The battle described in the play is probably based on the Battle of Slivnitsa that was fought in mid-November of 1885. Although the name of the town is not mentioned, Dragoman is the closest Bulgarian town to the pass.
The stage directions also suggest that, culturally, the Petkoff family is an aspirational one, blending native Bulgarian traditions with imitation of Western European styles and fashions.